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	0.8321	3.96***
α ARCH Response to squared shocks	0.1301	3.17***
β GARCH Volatility persistence	0.8143	19.52***

V-Lab

Global X Artfcl ITL & TCH IN Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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