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	1.7426	6.47***
α ARCH Response to squared shocks	0.0755	5.69***
β GARCH Volatility persistence	0.8320	23.13***

γ₁	0.2602	4.92***
γ₂	-0.2389	-3.06***
γ₃	-0.1630	-2.48**
γ₄	0.2329	3.31***
γ₅	-0.1819	-2.26**
γ₆	0.2119	2.04**
γ₇	-0.1712	-1.87*

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SDI Ltd Zero Slope Spline-GARCH Volatility Analysis

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