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

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6579	8.32***
α ARCH Response to squared shocks	0.1205	7.05***
β GARCH Volatility persistence	0.6973	17.91***

γ₁	-0.3212	-4.94***
γ₂	0.4944	4.58***
γ₃	-0.2515	-3.08***
γ₄	0.1931	3.14***
γ₅	-0.2291	-4.37***
γ₆	0.2128	4.15***
γ₇	-0.1236	-2.36**
γ₈	0.0069	0.12
γ₉	0.0261	0.55

V-Lab

REA Group Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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