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	1.4316	7.23***
α ARCH Response to squared shocks	0.1158	8.32***
β GARCH Volatility persistence	0.8511	51.76***

γ₁	0.0225	3.95***
γ₂	-0.0281	-3.90***

V-Lab

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