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	41
α ARCH Response to squared shocks	0.0151	5.01***
β GARCH Volatility persistence	0.8253	216.72***
γ leverage Additional response to negative shocks	0.1676	38.08***
λ₁ tau intercept Baseline long-term coefficient	0.0038	6.54***
λ₂ forecast adj. Forecast performance sensitivity	0.0466	8.60***
λ₃ tau persistence Long-term factor persistence	0.9486	153.99***

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S&P/TSX Composite Index MF2-GARCH Volatility Analysis

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