S&P / ASX 200 Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0929	16.44***
β GARCH Volatility persistence	0.6759	49.21***
γ leverage Additional response to negative shocks	0.0478	6.36***
λ₁ tau intercept Baseline long-term coefficient	0.0162	1.94*
λ₂ forecast adj. Forecast performance sensitivity	0.0186	3.70***
λ₃ tau persistence Long-term factor persistence	0.9777	147.83***

V-Lab

REA Group Ltd MF2-GARCH Volatility Analysis

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