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	106
α ARCH Response to squared shocks	0.0155	2.46**
β GARCH Volatility persistence	0.8710	152.09***
γ leverage Additional response to negative shocks	0.1191	16.34***
λ₁ tau intercept Baseline long-term coefficient	0.2312	0.51
λ₂ forecast adj. Forecast performance sensitivity	0.7571	0.53
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Global X Nasdaq-100 Cove ETF MF2-GARCH Volatility Analysis

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