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

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5204	5.89***
α ARCH Response to squared shocks	0.1071	35.05***
β GARCH Volatility persistence	0.9875	429.91***
ν DF Student-t tail thickness	7.2439	7.26***

V-Lab

Ishares Core Sp500 IDX (Cad) GAS-GARCH Student T Volatility Analysis

Date Range:

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