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	1.0334	6.06***
α ARCH Response to squared shocks	0.1624	3.99***
β GARCH Volatility persistence	0.4404	3.79***

γ₁	0.9713	1.91*
γ₂	-1.9581	-2.41**
γ₃	2.1547	2.83***
γ₄	-2.2754	-2.42**
γ₅	1.7414	1.93*
γ₆	-0.5127	-0.81
γ₇	-0.3850	-1.03

V-Lab

RMA Global Limited Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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