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
m window Rolling window length	86
α ARCH Response to squared shocks	0.0413	5.66***
β GARCH Volatility persistence	0.7582	74.89***
γ leverage Additional response to negative shocks	0.1055	7.84***
λ₁ tau intercept Baseline long-term coefficient	3.1780	0.57
λ₂ forecast adj. Forecast performance sensitivity	0.5861	0.69
λ₃ tau persistence Long-term factor persistence	0.0676	0.05

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Fidelity Advantage Bitcoin ETF MF2-GARCH Volatility Analysis

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