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	1.5326	6.78***
α ARCH Response to squared shocks	0.1224	9.67***
β GARCH Volatility persistence	0.8442	58.90***

γ₁	0.0332	2.60***
γ₂	-0.0507	-2.65***
γ₃	0.0380	2.44**
γ₄	-0.0297	-2.57**

V-Lab

Ishares Core Sp500 IDX (Cad) Zero Slope Spline-GARCH Volatility Analysis

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