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	8.9626	4.54***
α ARCH Response to squared shocks	0.1052	25.50***
β GARCH Volatility persistence	0.9856	287.27***
ν DF Student-t tail thickness	6.7250	5.70***

V-Lab

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

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