S&P / TSX 60 VIX Index CAD

CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1214	8.07***
α ARCH Response to squared shocks	0.3808	6.68***
β GARCH Volatility persistence	0.6894	51.02***
γ leverage Additional response to negative shocks	-0.1404	-1.86*

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Global X Artfcl ITL & TCH IN Asy. MEM Volatility Analysis

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News Impact Curve

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