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

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8087	89.86***
γ leverage Additional response to negative shocks	0.2187	27.52***
λ₁ tau intercept Baseline long-term coefficient	0.0257	1.56
λ₂ forecast adj. Forecast performance sensitivity	0.0566	1.50
λ₃ tau persistence Long-term factor persistence	0.9127	15.81***

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