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
m window Rolling window length	21
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.7744	59.07***
γ leverage Additional response to negative shocks	0.2138	25.49***
λ₁ tau intercept Baseline long-term coefficient	0.0120	2.04**
λ₂ forecast adj. Forecast performance sensitivity	0.0529	2.43**
λ₃ tau persistence Long-term factor persistence	0.9288	32.78***

V-Lab

Ishares Core Equity ETF PTF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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