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
mwindow	21
αARCH	0.0152	0.70
βGARCH	0.8464	24.36***
γleverage	0.1074	3.69***
λ₁tau intercept	0.1609	1.32
λ₂forecast adj.	0.1781	1.20
λ₃tau persistence	0.7539	4.20***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0152	0.70
β GARCH Volatility persistence	0.8464	24.36***
γ leverage Additional response to negative shocks	0.1074	3.69***
λ₁ tau intercept Baseline long-term coefficient	0.1609	1.32
λ₂ forecast adj. Forecast performance sensitivity	0.1781	1.20
λ₃ tau persistence Long-term factor persistence	0.7539	4.20***

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CIBC MSCI Emerging Markets Equity Index ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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