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	0.6257	5.49***
α ARCH Response to squared shocks	0.0717	6.72***
β GARCH Volatility persistence	0.9013	62.58***

γ₁	-0.4330	-3.32***
γ₂	0.5839	2.85***
γ₃	-0.0979	-0.79
γ₄	-0.1467	-1.37
γ₅	0.0978	0.86
γ₆	0.1051	0.94
γ₇	-0.2235	-1.78*
γ₈	0.2062	1.78*
γ₉	-0.2347	-2.62***
γ₁₀	0.2312	3.43***

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Freehold Royalties Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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