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	0.0158	32.00***
α ARCH Response to squared shocks	0.0815	36.49***
β GARCH Volatility persistence	0.9167	487.35***
γ leverage Additional response to negative shocks	0.5427	29.11***
δ power Transformation power	1.2019	36.28***

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S&P/TSX 60 Index APARCH Volatility Analysis

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