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	1.0425	7.81***
α ARCH Response to squared shocks	0.1051	31.08***
β GARCH Volatility persistence	0.9826	396.83***
ν DF Student-t tail thickness	7.8714	5.34***

V-Lab

Horizons Beta Invr Sp/Tsx 60 GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Horizons Beta Invr Sp/Tsx 60 Analyses