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	1.4867	9.12***
αARCH	0.1268	8.42***
βGARCH	0.8169	40.02***

γ₁	0.0161	5.24***
γ₂	-0.0191	-4.87***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4867	9.12***
α ARCH Response to squared shocks	0.1268	8.42***
β GARCH Volatility persistence	0.8169	40.02***

γ₁	0.0161	5.24***
γ₂	-0.0191	-4.87***

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Crombie Real Estate Investment Trust Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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