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	8.9275	4.52***
α ARCH Response to squared shocks	0.1051	25.46***
β GARCH Volatility persistence	0.9855	284.34***
ν DF Student-t tail thickness	6.6623	5.76***

V-Lab

BetaPro NASDAQ-100 2x Daily Bull ETF GAS-GARCH Student T Volatility Analysis

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