S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9818	13.59***
α ARCH Response to squared shocks	0.1064	19.35***
β GARCH Volatility persistence	0.8566	111.96***

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