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	0.7745	5.83***
α ARCH Response to squared shocks	0.0222	4.67***
β GARCH Volatility persistence	0.8678	61.57***
γ leverage Additional response to negative shocks	0.0937	4.37***

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3IQ Bitcoin ETF GJR-GARCH Volatility Analysis

Date Range:

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