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	0.2096	19.86***
β GARCH Volatility persistence	0.3775	22.89***
γ leverage Additional response to negative shocks	0.2041	11.33***
λ₁ tau intercept Baseline long-term coefficient	0.3398	2.79***
λ₂ forecast adj. Forecast performance sensitivity	0.2441	5.34***
λ₃ tau persistence Long-term factor persistence	0.7469	15.95***

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Urbana Corp MF2-GARCH Volatility Analysis

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