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	31
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8067	113.86***
γ leverage Additional response to negative shocks	0.2157	35.92***
λ₁ tau intercept Baseline long-term coefficient	0.0863	3.16***
λ₂ forecast adj. Forecast performance sensitivity	0.0519	3.48***
λ₃ tau persistence Long-term factor persistence	0.9334	48.75***

V-Lab

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