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	0.0360	20.91***
α ARCH Response to squared shocks	0.0993	10.90***
β GARCH Volatility persistence	0.8440	131.46***
γ leverage Additional response to negative shocks	0.7368	9.48***
δ power Transformation power	1.6246	21.02***

V-Lab

TD Q Canadian Dividend ETF APARCH Volatility Analysis

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