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
m window Rolling window length	71
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8787	322.81***
γ leverage Additional response to negative shocks	0.1661	43.77***
λ₁ tau intercept Baseline long-term coefficient	0.0497	8.42***
λ₂ forecast adj. Forecast performance sensitivity	0.0791	17.82***
λ₃ tau persistence Long-term factor persistence	0.9066	166.87***

V-Lab

Betapro S&P/Tsx CP FN 2X BUL MF2-GARCH Volatility Analysis

Date Range:

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