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	0.0656	1.39
αARCH	0.1234	3.53***
βGARCH	0.8561	18.51***
γleverage	0.1105	0.68
δpower	1.9198	2.64***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0656	1.39
α ARCH Response to squared shocks	0.1234	3.53***
β GARCH Volatility persistence	0.8561	18.51***
γ leverage Additional response to negative shocks	0.1105	0.68
δ power Transformation power	1.9198	2.64***

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