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	5.0000	4.48***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8482	38.52***
γ leverage Additional response to negative shocks	0.0474	1.35

V-Lab

SavvyLong 2X Cameco ETF GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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