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	0.8084	89.87***
γ leverage Additional response to negative shocks	0.2190	27.59***
λ₁ tau intercept Baseline long-term coefficient	0.0255	1.56
λ₂ forecast adj. Forecast performance sensitivity	0.0549	1.50
λ₃ tau persistence Long-term factor persistence	0.9144	16.19***

V-Lab

Vanguard S&P 500 Index ETF MF2-GARCH Volatility Analysis

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