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	0.6415	12.07***
α ARCH Response to squared shocks	0.1279	18.31***
β GARCH Volatility persistence	0.9585	248.12***
ν DF Student-t tail thickness	10.2136	2.88***

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Vanguard Ftse Canada IDX ETF GAS-GARCH Student T Volatility Analysis

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