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	0.9397	4.85***
α ARCH Response to squared shocks	0.1102	5.25***
β GARCH Volatility persistence	0.8374	25.74***

γ₁	-0.0229	-1.18
γ₂	0.0408	1.47
γ₃	-0.0275	-1.71*
γ₄	0.0110	1.02

V-Lab

Silex Systems Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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