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	0.0321	9.21***
α ARCH Response to squared shocks	0.2418	14.82***
β GARCH Volatility persistence	0.9721	221.28***
γ leverage Additional response to negative shocks	-0.0393	-2.38**

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