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	0.1140	8.29***
α ARCH Response to squared shocks	0.1216	8.86***
β GARCH Volatility persistence	0.8500	60.72***
γ leverage Additional response to negative shocks	0.4591	5.54***
δ power Transformation power	1.1859	9.75***

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Global X Artfcl ITL & TCH IN APARCH Volatility Analysis

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