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	1.0405	4.80***
α ARCH Response to squared shocks	0.0549	21.95***
β GARCH Volatility persistence	0.9842	295.92***
ν DF Student-t tail thickness	4.8375	5.58***

V-Lab

Global X Gold Yield ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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