S&P / TSX 60 VIX Index CAD

CBOE EFA ETF Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.0462	7.18***
αARCH	0.1934	16.54***
βGARCH	0.8046	70.19***
γleverage	0.0929	3.57***
δpower	1.2324	7.50***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0462	7.18***
α ARCH Response to squared shocks	0.1934	16.54***
β GARCH Volatility persistence	0.8046	70.19***
γ leverage Additional response to negative shocks	0.0929	3.57***
δ power Transformation power	1.2324	7.50***

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Freehold Royalties Ltd Asy. Power MEM Volatility Analysis

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