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	0.0328	13.78***
α ARCH Response to squared shocks	0.0136	2.54**
β GARCH Volatility persistence	0.8249	139.98***
γ leverage Additional response to negative shocks	0.2389	12.78***

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TD Q Canadian Dividend ETF GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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