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
m window Rolling window length	96
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.5528	5.00***
γ leverage Additional response to negative shocks	0.0718	0.67
λ₁ tau intercept Baseline long-term coefficient	0.1642	0.17
λ₂ forecast adj. Forecast performance sensitivity	0.1857	0.22
λ₃ tau persistence Long-term factor persistence	0.8143	0.85

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Global X Artfcl ITL & TCH IN MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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