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	-0.0154	-3.79***
α ARCH Response to squared shocks	0.1450	25.84***
β GARCH Volatility persistence	0.9486	269.88***
γ leverage Additional response to negative shocks	-0.1525	-28.80***

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Ishares Msci World Index ETF EGARCH Volatility Analysis

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