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	61
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8342	187.28***
γ leverage Additional response to negative shocks	0.2139	33.20***
λ₁ tau intercept Baseline long-term coefficient	0.0107	7.45***
λ₂ forecast adj. Forecast performance sensitivity	0.0546	5.80***
λ₃ tau persistence Long-term factor persistence	0.9351	88.74***

V-Lab

Ishares Core Sp500 IDX (Cad) MF2-GARCH Volatility Analysis

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