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	0.0670	27.72***
α ARCH Response to squared shocks	0.1770	42.38***
β GARCH Volatility persistence	0.7973	170.95***
γ leverage Additional response to negative shocks	0.2593	19.57***
δ power Transformation power	0.8219	19.59***

V-Lab

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