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	0.7601	5.79***
αARCH	0.0707	7.12***
βGARCH	0.9076	72.72***

γ₁	-0.2676	-4.28***
γ₂	0.4434	4.09***
γ₃	-0.2641	-2.98***
γ₄	0.1070	1.47
γ₅	0.0058	0.10
γ₆	-0.0131	-0.21
γ₇	-0.0903	-1.36
γ₈	0.1282	2.63***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7601	5.79***
α ARCH Response to squared shocks	0.0707	7.12***
β GARCH Volatility persistence	0.9076	72.72***

γ₁	-0.2676	-4.28***
γ₂	0.4434	4.09***
γ₃	-0.2641	-2.98***
γ₄	0.1070	1.47
γ₅	0.0058	0.10
γ₆	-0.0131	-0.21
γ₇	-0.0903	-1.36
γ₈	0.1282	2.63***

V-Lab

Freehold Royalties Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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