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
m window Rolling window length	126
α ARCH Response to squared shocks	0.0799	14.52***
β GARCH Volatility persistence	0.8984	109.52***
γ leverage Additional response to negative shocks	-0.0389	-3.64***
λ₁ tau intercept Baseline long-term coefficient	4.2335	0.44
λ₂ forecast adj. Forecast performance sensitivity	0.1361	0.44
λ₃ tau persistence Long-term factor persistence	0.8165	1.93*

V-Lab

Resolution Minerals Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

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