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
ω const Unconditional variance weight	0.1715
α ARCH Response to squared shocks	0.2951
β GARCH Volatility persistence	0.7015

γ₁	144.6951
γ₂	-259.1727
γ₃	144.9441
γ₄	-48.7692
γ₅	460.2781
γ₆	-1,870.0850
γ₇	3,209.5640
γ₈	-2,545.0710
γ₉	774.6545

V-Lab

Range International Limited Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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