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	0.6235	5.52***
α ARCH Response to squared shocks	0.0718	6.70***
β GARCH Volatility persistence	0.9004	61.79***

γ₁	-0.4313	-3.30***
γ₂	0.5795	2.82***
γ₃	-0.0928	-0.75
γ₄	-0.1485	-1.38
γ₅	0.0930	0.82
γ₆	0.1157	1.03
γ₇	-0.2369	-1.90*
γ₈	0.2204	1.94*
γ₉	-0.2463	-2.81***
γ₁₀	0.2355	3.57***

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Freehold Royalties Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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