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	4.0472	8.29***
α ARCH Response to squared shocks	0.1065	29.46***
β GARCH Volatility persistence	0.9834	430.92***
ν DF Student-t tail thickness	9.3012	4.59***

V-Lab

Betapro S&P/Tsx CP FN 2X BUL GAS-GARCH Student T Volatility Analysis

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