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	0.8942	8.39***
α ARCH Response to squared shocks	0.0820	36.22***
β GARCH Volatility persistence	0.9886	708.64***
ν DF Student-t tail thickness	8.1441	6.25***

V-Lab

S&P/TSX 60 Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P/TSX 60 Index Analyses