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	11.0590	4.81***
α ARCH Response to squared shocks	0.0528	9.60***
β GARCH Volatility persistence	0.9504	53.70***
ν DF Student-t tail thickness	4.9887	1.80*

V-Lab

Fidelity Advantage Bitcoin ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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