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	0.0192	16.67***
α ARCH Response to squared shocks	0.1751	22.37***
β GARCH Volatility persistence	0.8890	279.91***
γ leverage Additional response to negative shocks	-0.1751	-21.50***

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Horizons Beta Invr Sp/Tsx 60 GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Horizons Beta Invr Sp/Tsx 60 Analyses