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	5.2014	7.07***
α ARCH Response to squared shocks	0.0320	46.80***
β GARCH Volatility persistence	0.9969	2,384.83***
ν DF Student-t tail thickness	3.6585	40.53***

V-Lab

Global X Silver ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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