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	4.1483	23.94***
α ARCH Response to squared shocks	0.1296	14.18***
β GARCH Volatility persistence	0.4604	30.21***
γ leverage Additional response to negative shocks	1.2576	5.81***

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