S&P / TSX 60 VIX Index CAD

CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0592	30.87***
α ARCH Response to squared shocks	0.2468	47.48***
β GARCH Volatility persistence	0.7102	123.11***
γ leverage Additional response to negative shocks	0.2172	20.12***
δ power Transformation power	0.5110	17.67***

V-Lab

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