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	1.5338	7.68***
α ARCH Response to squared shocks	0.1220	7.07***
β GARCH Volatility persistence	0.6944	17.66***

γ₁	-0.3489	-5.17***
γ₂	0.5297	4.77***
γ₃	-0.2617	-3.15***
γ₄	0.1966	3.17***
γ₅	-0.2296	-4.36***
γ₆	0.2108	4.07***
γ₇	-0.1194	-2.24**
γ₈	0.0043	0.08
γ₉	0.0254	0.53

V-Lab

REA Group Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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