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	1.4315	7.23***
α ARCH Response to squared shocks	0.1160	8.34***
β GARCH Volatility persistence	0.8509	51.81***

γ₁	0.0224	3.97***
γ₂	-0.0281	-3.92***

V-Lab

BetaPro NASDAQ-100 2x Daily Bull ETF Zero Slope Spline-GARCH Volatility Analysis

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