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	1.5194	5.87***
α ARCH Response to squared shocks	0.1068	35.29***
β GARCH Volatility persistence	0.9874	427.47***
ν DF Student-t tail thickness	7.1523	7.41***

V-Lab

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

Date Range:

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