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	0.0735	10.19***
α ARCH Response to squared shocks	0.2042	10.19***
β GARCH Volatility persistence	0.9445	123.52***
γ leverage Additional response to negative shocks	-0.0902	-3.64***

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Global X Artfcl ITL & TCH IN EGARCH Volatility Analysis

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