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	0.1188	0.37
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9990	11.66***
ν DF Student-t tail thickness	27.3289	0.55

V-Lab

NBI Canadian Core Plus Bond Fund GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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