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	36
α ARCH Response to squared shocks	0.2342	42.23***
β GARCH Volatility persistence	0.8183	145.85***
γ leverage Additional response to negative shocks	-0.2342	-40.63***
λ₁ tau intercept Baseline long-term coefficient	0.1151	3.62***
λ₂ forecast adj. Forecast performance sensitivity	0.0591	4.35***
λ₃ tau persistence Long-term factor persistence	0.9235	51.26***

V-Lab

Betapro Nasdaq-100 -2X D ETF MF2-GARCH Volatility Analysis

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