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	1.3853	8.28***
α ARCH Response to squared shocks	0.1166	6.95***
β GARCH Volatility persistence	0.8416	48.90***

γ₁	0.0196	3.52***
γ₂	-0.0234	-3.30***

V-Lab

Horizons Beta Invr Sp/Tsx 60 Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Horizons Beta Invr Sp/Tsx 60 Analyses