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	66
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9697	201.19***
γ leverage Additional response to negative shocks	0.0505	6.03***
λ₁ tau intercept Baseline long-term coefficient	0.1353	0.04
λ₂ forecast adj. Forecast performance sensitivity	0.1822	0.04
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

TD Active US HI Yild BND ETF MF2-GARCH Volatility Analysis

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