S&P / TSX 60 VIX Index CAD

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	11.7122	0.11
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9976	4.56***
ν DF Student-t tail thickness	4.7272	0.06

V-Lab

Ninepoint Barrick Hghshs ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ninepoint Barrick Hghshs ETF Analyses