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	0.7771	16.06***
α ARCH Response to squared shocks	0.1113	21.34***
β GARCH Volatility persistence	0.9513	251.60***
ν DF Student-t tail thickness	8.8413	3.71***

V-Lab

Vanguard S&P 500 Index ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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