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	0.2492	19.19***
β GARCH Volatility persistence	0.3898	16.01***
γ leverage Additional response to negative shocks	-0.0740	-3.61***
λ₁ tau intercept Baseline long-term coefficient	1.7756	0.93
λ₂ forecast adj. Forecast performance sensitivity	0.1031	1.20
λ₃ tau persistence Long-term factor persistence	0.8178	4.97***

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Silex Systems Ltd MF2-GARCH Volatility Analysis

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