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

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1154	14.26***
α ARCH Response to squared shocks	0.0550	27.16***
β GARCH Volatility persistence	0.9880	930.28***
ν DF Student-t tail thickness	9.8069	4.70***

V-Lab

Vanguard CDN AGG BD IDX ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Vanguard CDN AGG BD IDX ETF Analyses