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	0.0626	15.53***
α ARCH Response to squared shocks	0.1440	11.95***
β GARCH Volatility persistence	0.6694	68.60***
γ leverage Additional response to negative shocks	0.2281	8.41***

V-Lab

Ishares Core Equity ETF PTF Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ishares Core Equity ETF PTF Analyses