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	0.6014	5.54***
αARCH	0.0729	6.69***
βGARCH	0.8972	60.24***

γ₁	-0.4454	-3.61***
γ₂	0.6031	3.10***
γ₃	-0.1079	-0.91
γ₄	-0.1431	-1.40
γ₅	0.0961	0.88
γ₆	0.1130	1.07
γ₇	-0.2441	-2.06**
γ₈	0.2471	2.21**
γ₉	-0.3192	-3.42***
γ₁₀	0.4379	3.60***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6014	5.54***
α ARCH Response to squared shocks	0.0729	6.69***
β GARCH Volatility persistence	0.8972	60.24***

γ₁	-0.4454	-3.61***
γ₂	0.6031	3.10***
γ₃	-0.1079	-0.91
γ₄	-0.1431	-1.40
γ₅	0.0961	0.88
γ₆	0.1130	1.07
γ₇	-0.2441	-2.06**
γ₈	0.2471	2.21**
γ₉	-0.3192	-3.42***
γ₁₀	0.4379	3.60***

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Freehold Royalties Ltd Spline-GARCH Volatility Analysis

Date Range:

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