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

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0163	2.68***
β GARCH Volatility persistence	0.8184	48.92***
γ leverage Additional response to negative shocks	0.1188	9.79***
λ₁ tau intercept Baseline long-term coefficient	0.0884	1.02
λ₂ forecast adj. Forecast performance sensitivity	0.1655	2.03**
λ₃ tau persistence Long-term factor persistence	0.8058	7.91***

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