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	0.1593	1.76*
β GARCH Volatility persistence	0.7369	51.33***
γ leverage Additional response to negative shocks	-0.0199	-0.13
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.21
λ₂ forecast adj. Forecast performance sensitivity	0.3498	0.33
λ₃ tau persistence Long-term factor persistence	0.5341	0.59

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Range International Limited MF2-GARCH Volatility Analysis

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