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
m window Rolling window length	26
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8002	78.49***
γ leverage Additional response to negative shocks	0.2191	25.48***
λ₁ tau intercept Baseline long-term coefficient	0.0154	1.98**
λ₂ forecast adj. Forecast performance sensitivity	0.0356	1.98**
λ₃ tau persistence Long-term factor persistence	0.9455	34.67***

V-Lab

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