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	1.3506	7.46***
α ARCH Response to squared shocks	0.1193	7.83***
β GARCH Volatility persistence	0.8570	56.65***

γ₁	0.0162	3.60***
γ₂	-0.0189	-3.21***

V-Lab

Betapro S&P/Tsx CP FN 2X BUL Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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