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	21
α ARCH Response to squared shocks	0.0924	13.15***
β GARCH Volatility persistence	0.7996	28.64***
γ leverage Additional response to negative shocks	0.0571	6.72***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.18
λ₂ forecast adj. Forecast performance sensitivity	0.2875	0.16
λ₃ tau persistence Long-term factor persistence	0.0795	0.01

V-Lab

Purpose Solana ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Purpose Solana ETF Analyses