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	1.0000	3.75***
α ARCH Response to squared shocks	0.1497	4.80***
β GARCH Volatility persistence	0.5481	14.37***
γ leverage Additional response to negative shocks	0.5901	11.84***
δ power Transformation power	2.5762	6.51***

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