S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	91
α ARCH Response to squared shocks	0.1578	1.70*
β GARCH Volatility persistence	0.7383	56.88***
γ leverage Additional response to negative shocks	-0.0183	-0.12
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.20
λ₂ forecast adj. Forecast performance sensitivity	0.3505	0.34
λ₃ tau persistence Long-term factor persistence	0.5343	0.61

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Range International Limited MF2-GARCH Volatility Analysis

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