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	0.0130	35.04***
α ARCH Response to squared shocks	0.1447	42.73***
β GARCH Volatility persistence	0.7862	337.01***
γ leverage Additional response to negative shocks	0.1117	19.51***

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S&P/TSX 60 Index Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

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