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	46
α ARCH Response to squared shocks	0.0298	12.17***
β GARCH Volatility persistence	0.8425	92.31***
γ leverage Additional response to negative shocks	0.0981	21.48***
λ₁ tau intercept Baseline long-term coefficient	0.0300	2.94***
λ₂ forecast adj. Forecast performance sensitivity	0.0572	2.91***
λ₃ tau persistence Long-term factor persistence	0.9350	41.45***

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Freehold Royalties Ltd MF2-GARCH Volatility Analysis

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