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	0.0412	19.17***
α ARCH Response to squared shocks	0.1198	29.38***
β GARCH Volatility persistence	0.8273	163.24***

V-Lab

Vanguard S&P 500 Index ETF GARCH Volatility Analysis

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