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	21.6074	7.07***
α ARCH Response to squared shocks	0.1063	23.64***
β GARCH Volatility persistence	0.9540	142.81***
ν DF Student-t tail thickness	3.9424	10.57***

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Silex Systems Ltd GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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