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	1.0022	5.96***
α ARCH Response to squared shocks	0.0980	2.02**
β GARCH Volatility persistence	0.7141	4.93***

γ₁	-12.2669	-2.44**
γ₂	23.8108	2.96***
γ₃	-17.0542	-2.95***
γ₄	3.7909	0.75
γ₅	9.6287	2.27**
γ₆	-13.0012	-4.52***

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