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	0.0000	0.00
β GARCH Volatility persistence	0.2339	0.00
γ leverage Additional response to negative shocks	0.0000	0.00
λ₁ tau intercept Baseline long-term coefficient	0.4021	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.1868	0.00
λ₃ tau persistence Long-term factor persistence	0.8132	0.00

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