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	5.0000	15.55***
α ARCH Response to squared shocks	0.1202	9.02***
β GARCH Volatility persistence	0.7308	77.21***
γ leverage Additional response to negative shocks	0.2109	6.74***

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S&P / TSX 60 VIX Index CAD GJR-GARCH Volatility Analysis

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