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	0.0300	13.32***
α ARCH Response to squared shocks	0.0483	0.00
β GARCH Volatility persistence	0.8886	130.87***
γ leverage Additional response to negative shocks	1.0000	0.00
δ power Transformation power	1.7494	9.82***

V-Lab

Ishares Core Equity ETF PTF APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ishares Core Equity ETF PTF Analyses