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	2.5846	6.05***
α ARCH Response to squared shocks	0.2111	7.70***
β GARCH Volatility persistence	0.6681	14.41***

γ₁	0.6215	3.99***
γ₂	-1.0828	-4.29***
γ₃	0.8725	4.83***
γ₄	-0.7670	-4.78***
γ₅	0.5279	3.20***
γ₆	-0.0925	-0.60
γ₇	-0.1845	-1.23
γ₈	0.1175	0.87
γ₉	0.0199	0.20

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Urbana Corp Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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