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	0.0812	24.10***
α ARCH Response to squared shocks	0.1166	20.10***
β GARCH Volatility persistence	0.7999	194.90***
γ leverage Additional response to negative shocks	0.1125	10.12***

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