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	0.1778	17.29***
α ARCH Response to squared shocks	0.2016	24.47***
β GARCH Volatility persistence	0.8790	291.94***
γ leverage Additional response to negative shocks	-0.1965	-22.49***

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