S&P / TSX 60 VIX Index CAD

CBOE EFA ETF Volatility Index

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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	0.6402	1.19
αARCH	0.2380	2.37**
βGARCH	0.5690	4.60***
γleverage	0.3395	2.96***
δpower	2.5706	1.82*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6402	1.19
α ARCH Response to squared shocks	0.2380	2.37**
β GARCH Volatility persistence	0.5690	4.60***
γ leverage Additional response to negative shocks	0.3395	2.96***
δ power Transformation power	2.5706	1.82*

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Date Range:

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