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
m window Rolling window length	126
α ARCH Response to squared shocks	0.0328	6.44***
β GARCH Volatility persistence	0.9739	354.03***
γ leverage Additional response to negative shocks	-0.0302	-3.84***
λ₁ tau intercept Baseline long-term coefficient	0.1836	0.58
λ₂ forecast adj. Forecast performance sensitivity	0.1718	0.71
λ₃ tau persistence Long-term factor persistence	0.8282	3.05***

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Global X Artfcl ITL & TCH IN MF2-GARCH Volatility Analysis

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