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	54.8703	7.00***
α ARCH Response to squared shocks	0.1281	2.47**
β GARCH Volatility persistence	0.7140	14.74***
ν DF Student-t tail thickness	6.1443	0.69

V-Lab

SavvyLong 2X Cameco ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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