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

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0982	11.99***
α ARCH Response to squared shocks	0.2235	14.74***
β GARCH Volatility persistence	0.7587	67.50***
γ leverage Additional response to negative shocks	-0.0390	-0.71
δ power Transformation power	0.9180	7.52***

V-Lab

Global X Artfcl ITL & TCH IN Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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