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	126
αARCH	0.1344	25.74***
βGARCH	0.0000	0.00
γleverage	-0.1344	-25.75***
λ₁tau intercept	0.0000	0.03
λ₂forecast adj.	0.5964	3.79***
λ₃tau persistence	0.0000	0.50

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1344	25.74***
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	-0.1344	-25.75***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.03
λ₂ forecast adj. Forecast performance sensitivity	0.5964	3.79***
λ₃ tau persistence Long-term factor persistence	0.0000	0.50

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