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	3.1838	6.80***
α ARCH Response to squared shocks	0.2635	7.10***
β GARCH Volatility persistence	0.4632	7.11***

γ₁	0.7363	2.33**
γ₂	-0.8354	-1.55
γ₃	0.6185	1.53
γ₄	-1.4207	-4.49***
γ₅	1.7832	6.39***
γ₆	-1.2751	-4.37***
γ₇	0.3541	1.14
γ₈	0.0952	0.37
γ₉	-0.0317	-0.20

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Global X Active Global Fixed Income ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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