S&P / ASX 200 Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.7640
β GARCH Volatility persistence	0.0000
γ leverage Additional response to negative shocks	0.4721
λ₁ tau intercept Baseline long-term coefficient	3.5835
λ₂ forecast adj. Forecast performance sensitivity	0.0000
λ₃ tau persistence Long-term factor persistence	0.3142

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Ventia Services Group Pty Ltd MF2-GARCH Volatility Analysis

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News Impact Curve

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Parameter Estimates

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