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	1.1904	8.49***
α ARCH Response to squared shocks	0.1415	7.28***
β GARCH Volatility persistence	0.8037	40.41***

γ₁	0.0261	3.48***
γ₂	-0.0334	-3.46***

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