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	0.0140	0.65
βGARCH	0.8490	24.76***
γleverage	0.1061	3.76***
λ₁tau intercept	0.1640	1.32
λ₂forecast adj.	0.1730	1.17
λ₃tau persistence	0.7590	4.23***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0140	0.65
β GARCH Volatility persistence	0.8490	24.76***
γ leverage Additional response to negative shocks	0.1061	3.76***
λ₁ tau intercept Baseline long-term coefficient	0.1640	1.32
λ₂ forecast adj. Forecast performance sensitivity	0.1730	1.17
λ₃ tau persistence Long-term factor persistence	0.7590	4.23***

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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