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	0.1018	17.03***
α ARCH Response to squared shocks	0.1052	24.75***
β GARCH Volatility persistence	0.8693	157.00***
γ leverage Additional response to negative shocks	-0.0233	-1.00
δ power Transformation power	1.1403	24.55***

V-Lab

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