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	0.0430	16.19***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8487	186.48***
γ leverage Additional response to negative shocks	0.2017	16.68***

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