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	28.8345	7.67***
α ARCH Response to squared shocks	0.0547	18.43***
β GARCH Volatility persistence	0.9634	162.46***
ν DF Student-t tail thickness	3.6081	8.99***

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Aya Gold & Silver Inc GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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