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	2.4561	12.11***
α ARCH Response to squared shocks	0.0493	4.17***
β GARCH Volatility persistence	0.6694	33.04***
γ leverage Additional response to negative shocks	0.1063	2.38**

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Fidelity Advantage Bitcoin ETF GJR-GARCH Volatility Analysis

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