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	4.0486	5.52***
α ARCH Response to squared shocks	0.0677	33.92***
β GARCH Volatility persistence	0.9902	587.68***
ν DF Student-t tail thickness	5.2942	10.28***

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Freehold Royalties Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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