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	0.1807	6.91***
α ARCH Response to squared shocks	0.1608	12.44***
β GARCH Volatility persistence	0.7856	54.62***
γ leverage Additional response to negative shocks	0.5087	7.70***

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Global X Artfcl ITL & TCH IN AGARCH Volatility Analysis

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