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	0.1809	7.16***
α ARCH Response to squared shocks	0.0345	2.09**
β GARCH Volatility persistence	0.8286	45.66***
γ leverage Additional response to negative shocks	0.1856	6.51***

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Global X Artfcl ITL & TCH IN GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

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