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	0.0373	14.55***
α ARCH Response to squared shocks	0.0646	12.69***
β GARCH Volatility persistence	0.8747	185.64***
γ leverage Additional response to negative shocks	0.0545	4.97***

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Global X Nasdaq-100 Cove ETF Asy. MEM Volatility Analysis

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