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	0.8236	5.81***
α ARCH Response to squared shocks	0.0803	3.90***
β GARCH Volatility persistence	0.8618	34.33***

γ₁	-0.0219	-0.95
γ₂	0.0736	2.22**
γ₃	-0.1534	-4.75***

V-Lab

Vanguard CDN AGG BD IDX ETF Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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