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	0.0181	32.34***
α ARCH Response to squared shocks	0.0925	40.03***
β GARCH Volatility persistence	0.9066	437.14***
γ leverage Additional response to negative shocks	0.5267	33.39***
δ power Transformation power	1.0745	35.84***

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