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	0.1608	2.14**
α ARCH Response to squared shocks	0.0337	1.66*
β GARCH Volatility persistence	0.8757	12.47***

γ₁	-14.7916	-3.64***
γ₂	16.4405	2.70***
γ₃	2.7268	0.77
γ₄	-7.1012	-2.75***
γ₅	1.6519	0.74
γ₆	1.6485	0.78
γ₇	-0.1942	-0.11
γ₈	-0.6859	-0.49
γ₉	0.2790	0.23
γ₁₀	0.3445	0.38

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TD Active US HI Yild BND ETF Zero Slope Spline-GARCH Volatility Analysis

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