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	0.0296	12.10***
β GARCH Volatility persistence	0.8426	92.39***
γ leverage Additional response to negative shocks	0.0985	21.55***
λ₁ tau intercept Baseline long-term coefficient	0.0298	2.93***
λ₂ forecast adj. Forecast performance sensitivity	0.0574	2.90***
λ₃ tau persistence Long-term factor persistence	0.9349	41.33***

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Freehold Royalties Ltd MF2-GARCH Volatility Analysis

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