S&P / TSX 60 VIX Index CAD

CBOE EFA ETF Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	2.7496	7.63***
αARCH	0.1480	8.26***
βGARCH	0.6770	17.06***

γ₁	0.1190	3.56***
γ₂	-0.2154	-3.77***
γ₃	0.2250	3.74***
γ₄	-0.2412	-3.96***
γ₅	0.2006	4.39***
γ₆	-0.1165	-2.81***
γ₇	0.0093	0.26
γ₈	0.0349	1.67*

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.7496	7.63***
α ARCH Response to squared shocks	0.1480	8.26***
β GARCH Volatility persistence	0.6770	17.06***

γ₁	0.1190	3.56***
γ₂	-0.2154	-3.77***
γ₃	0.2250	3.74***
γ₄	-0.2412	-3.96***
γ₅	0.2006	4.39***
γ₆	-0.1165	-2.81***
γ₇	0.0093	0.26
γ₈	0.0349	1.67*

V-Lab

Boardwalk Real Estate Investment Trust Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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