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	1.4118	6.70***
α ARCH Response to squared shocks	0.0742	4.12***
β GARCH Volatility persistence	0.8687	23.70***

γ₁	0.0363	2.21**
γ₂	-0.0594	-2.35**
γ₃	0.0349	2.56**

V-Lab

Aya Gold & Silver Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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Parameter Estimates

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