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

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1054	4.70***
α ARCH Response to squared shocks	0.0743	7.08***
β GARCH Volatility persistence	0.8929	42.09***

γ₁	0.2183	0.81
γ₂	0.4128	0.90
γ₃	-1.1376	-2.99***
γ₄	1.1036	3.57***
γ₅	-1.6610	-4.41***
γ₆	1.8520	3.69***
γ₇	-1.2678	-2.06**
γ₈	0.8914	1.70*
γ₉	-0.4254	-1.21
γ₁₀	-0.1205	-0.51

V-Lab

Spenda Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Spenda Ltd Analyses