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
m window Rolling window length	46
α ARCH Response to squared shocks	0.5000	59.73***
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	-0.5000	-48.31***
λ₁ tau intercept Baseline long-term coefficient	0.1087	0.81
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.0050	0.00

V-Lab

NBI Canadian Core Plus Bond Fund MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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