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	8.3620	5.40***
α ARCH Response to squared shocks	0.1027	24.51***
β GARCH Volatility persistence	0.9843	311.39***
ν DF Student-t tail thickness	7.0413	5.53***

V-Lab

Betapro Nasdaq-100 -2X D ETF GAS-GARCH Student T Volatility Analysis

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