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

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Parameter	Value	t-statistic
ω const Unconditional variance weight	512.2001	7.17***
α ARCH Response to squared shocks	0.1079	91.14***
β GARCH Volatility persistence	0.9968	2,362.13***
ν DF Student-t tail thickness	2.8666	151.59***

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Trident Resources Corp GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

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