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	4.0167	1.39
αARCH	0.0677	8.53***
βGARCH	0.9902	147.84***
νDF	5.3082	2.57**

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.0167	1.39
α ARCH Response to squared shocks	0.0677	8.53***
β GARCH Volatility persistence	0.9902	147.84***
ν DF Student-t tail thickness	5.3082	2.57**

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Freehold Royalties Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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