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
m window Rolling window length	46
α ARCH Response to squared shocks	0.0299	12.19***
β GARCH Volatility persistence	0.8429	92.65***
γ leverage Additional response to negative shocks	0.0978	21.43***
λ₁ tau intercept Baseline long-term coefficient	0.0299	2.95***
λ₂ forecast adj. Forecast performance sensitivity	0.0570	2.91***
λ₃ tau persistence Long-term factor persistence	0.9352	41.72***

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