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	36
α ARCH Response to squared shocks	0.0110	4.18***
β GARCH Volatility persistence	0.8406	230.49***
γ leverage Additional response to negative shocks	0.1554	38.62***
λ₁ tau intercept Baseline long-term coefficient	0.0034	6.51***
λ₂ forecast adj. Forecast performance sensitivity	0.0399	8.32***
λ₃ tau persistence Long-term factor persistence	0.9561	177.62***

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S&P/TSX 60 Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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