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

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	0.6284	5.49***
αARCH	0.0717	6.73***
βGARCH	0.9014	62.73***

γ₁	-0.4293	-3.29***
γ₂	0.5791	2.83***
γ₃	-0.0970	-0.78
γ₄	-0.1467	-1.38
γ₅	0.0995	0.88
γ₆	0.1013	0.92
γ₇	-0.2197	-1.77*
γ₈	0.2039	1.76*
γ₉	-0.2352	-2.63***
γ₁₀	0.2335	3.49***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6284	5.49***
α ARCH Response to squared shocks	0.0717	6.73***
β GARCH Volatility persistence	0.9014	62.73***

γ₁	-0.4293	-3.29***
γ₂	0.5791	2.83***
γ₃	-0.0970	-0.78
γ₄	-0.1467	-1.38
γ₅	0.0995	0.88
γ₆	0.1013	0.92
γ₇	-0.2197	-1.77*
γ₈	0.2039	1.76*
γ₉	-0.2352	-2.63***
γ₁₀	0.2335	3.49***

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Freehold Royalties Ltd Zero Slope Spline-GARCH Volatility Analysis

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