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	0.7596	5.78***
αARCH	0.0705	7.11***
βGARCH	0.9078	72.81***

γ₁	-0.2687	-4.27***
γ₂	0.4449	4.07***
γ₃	-0.2643	-2.96***
γ₄	0.1064	1.45
γ₅	0.0069	0.11
γ₆	-0.0148	-0.24
γ₇	-0.0865	-1.28
γ₈	0.1239	2.52**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7596	5.78***
α ARCH Response to squared shocks	0.0705	7.11***
β GARCH Volatility persistence	0.9078	72.81***

γ₁	-0.2687	-4.27***
γ₂	0.4449	4.07***
γ₃	-0.2643	-2.96***
γ₄	0.1064	1.45
γ₅	0.0069	0.11
γ₆	-0.0148	-0.24
γ₇	-0.0865	-1.28
γ₈	0.1239	2.52**

V-Lab

Freehold Royalties Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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