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	1.4716	2.62***
α ARCH Response to squared shocks	0.1247	4.88***
β GARCH Volatility persistence	0.8272	31.39***

γ₁	0.1312	1.31
γ₂	-0.1545	-1.28

V-Lab

Ishares Core Equity ETF PTF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ishares Core Equity ETF PTF Analyses