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	1.4328	10.02***
α ARCH Response to squared shocks	0.1007	2.76***
β GARCH Volatility persistence	0.6379	6.49***

V-Lab

3IQ Bitcoin ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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