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	51
α ARCH Response to squared shocks	0.1658	13.32***
β GARCH Volatility persistence	0.6377	53.57***
γ leverage Additional response to negative shocks	0.1533	7.15***
λ₁ tau intercept Baseline long-term coefficient	1.9271	2.94***
λ₂ forecast adj. Forecast performance sensitivity	0.1040	6.61***
λ₃ tau persistence Long-term factor persistence	0.8804	45.13***

V-Lab

Trident Resources Corp MF2-GARCH Volatility Analysis

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