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	2.9565	6.26***
α ARCH Response to squared shocks	0.1103	6.58***
β GARCH Volatility persistence	0.9515	137.34***
ν DF Student-t tail thickness	8.2085	1.42

V-Lab

Global X Artfcl ITL & TCH IN GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Global X Artfcl ITL & TCH IN Analyses