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	-0.0031	-3.04***
α ARCH Response to squared shocks	0.1724	43.40***
β GARCH Volatility persistence	0.9788	1,176.47***
γ leverage Additional response to negative shocks	-0.0833	-27.84***

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