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	0.0111	22.96***
α ARCH Response to squared shocks	0.1028	39.86***
β GARCH Volatility persistence	0.8860	340.88***

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S&P/TSX Composite Index GARCH Volatility Analysis

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