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	0.0218	11.27***
α ARCH Response to squared shocks	0.1242	17.27***
β GARCH Volatility persistence	0.8745	129.44***
γ leverage Additional response to negative shocks	0.0584	2.56**
δ power Transformation power	1.3488	14.19***

V-Lab

Global X Active Global Fixed Income ETF Asy. Power MEM Volatility Analysis

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