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	64.2136	6.98***
α ARCH Response to squared shocks	0.1294	13.33***
β GARCH Volatility persistence	0.8998	69.67***
ν DF Student-t tail thickness	3.7998	6.17***

V-Lab

S&P / TSX 60 VIX Index CAD GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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