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	1.2147	7.90***
α ARCH Response to squared shocks	0.2337	6.12***
β GARCH Volatility persistence	0.5134	6.76***

γ₁	0.4434	5.24***
γ₂	-0.7844	-5.27***
γ₃	0.6731	4.65***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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