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	1.5777	9.84***
α ARCH Response to squared shocks	0.0881	10.57***
β GARCH Volatility persistence	0.9180	218.78***
γ leverage Additional response to negative shocks	-0.0410	-3.42***

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Resolution Minerals Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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