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	91
α ARCH Response to squared shocks	0.0223	3.90***
β GARCH Volatility persistence	0.5371	28.50***
γ leverage Additional response to negative shocks	0.2272	18.84***
λ₁ tau intercept Baseline long-term coefficient	2.2797	0.63
λ₂ forecast adj. Forecast performance sensitivity	0.4955	0.71
λ₃ tau persistence Long-term factor persistence	0.2747	0.26

V-Lab

3IQ Bitcoin ETF MF2-GARCH Volatility Analysis

Date Range:

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