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	0.0521	4.46***
α ARCH Response to squared shocks	0.1243	14.66***
β GARCH Volatility persistence	0.8684	73.36***
γ leverage Additional response to negative shocks	0.1157	2.68***
δ power Transformation power	1.7625	9.74***

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