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	0.6983	12.04***
α ARCH Response to squared shocks	0.1460	4.42***
β GARCH Volatility persistence	0.7260	17.19***

V-Lab

BMO Equal Weight US BKS Indx Spline-GARCH Volatility Analysis

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