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
m window Rolling window length	21
α ARCH Response to squared shocks	0.1786	10.77***
β GARCH Volatility persistence	0.4184	9.30***
γ leverage Additional response to negative shocks	-0.0094	-0.41
λ₁ tau intercept Baseline long-term coefficient	1.6480	0.45
λ₂ forecast adj. Forecast performance sensitivity	0.0290	0.46
λ₃ tau persistence Long-term factor persistence	0.9177	5.44***

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RMA Global Limited MF2-GARCH Volatility Analysis

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