S&P / TSX 60 VIX Index CAD

CBOE EFA ETF Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
mwindow	91
αARCH	0.3238	31.48***
βGARCH	0.6314	111.29***
γleverage	-0.3193	-30.97***
λ₁tau intercept	0.0000	0.00
λ₂forecast adj.	0.9082	11.35***
λ₃tau persistence	0.0000	0.01

Parameter	Value	t-statistic
m window Rolling window length	91
α ARCH Response to squared shocks	0.3238	31.48***
β GARCH Volatility persistence	0.6314	111.29***
γ leverage Additional response to negative shocks	-0.3193	-30.97***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.9082	11.35***
λ₃ tau persistence Long-term factor persistence	0.0000	0.01

V-Lab

Ninepoint Barrick Hghshs ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ninepoint Barrick Hghshs ETF Analyses