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	2.4425	1.91*
αARCH	0.1013	2.74***
βGARCH	0.9715	69.15***
νDF	9.3694	0.41

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.4425	1.91*
α ARCH Response to squared shocks	0.1013	2.74***
β GARCH Volatility persistence	0.9715	69.15***
ν DF Student-t tail thickness	9.3694	0.41

V-Lab

CIBC MSCI Emerging Markets Equity Index ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CIBC MSCI Emerging Markets Equity Index ETF Analyses