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	1.1003	4.67***
α ARCH Response to squared shocks	0.0746	7.08***
β GARCH Volatility persistence	0.8925	42.17***

γ₁	0.2165	0.80
γ₂	0.4121	0.90
γ₃	-1.1315	-2.98***
γ₄	1.0888	3.53***
γ₅	-1.6387	-4.41***
γ₆	1.8416	3.78***
γ₇	-1.2716	-2.12**
γ₈	0.8957	1.71*
γ₉	-0.4221	-1.19
γ₁₀	-0.1296	-0.55

V-Lab

Spenda Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Spenda Ltd Analyses