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	31
αARCH	0.1572	5.92***
βGARCH	0.6619	16.76***
γleverage	0.1003	2.12**
λ₁tau intercept	0.0059	1.85*
λ₂forecast adj.	0.0221	4.31***
λ₃tau persistence	0.9765	193.21***

Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.1572	5.92***
β GARCH Volatility persistence	0.6619	16.76***
γ leverage Additional response to negative shocks	0.1003	2.12**
λ₁ tau intercept Baseline long-term coefficient	0.0059	1.85*
λ₂ forecast adj. Forecast performance sensitivity	0.0221	4.31***
λ₃ tau persistence Long-term factor persistence	0.9765	193.21***

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