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

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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	1.3844	6.24***
αARCH	0.1936	6.82***
βGARCH	0.6497	14.72***

γ₁	0.0133	0.11
γ₂	0.2635	1.42
γ₃	-0.6595	-5.59***
γ₄	0.5302	4.41***
γ₅	-0.0681	-0.60
γ₆	-0.2111	-1.99**
γ₇	0.2796	2.63***
γ₈	-0.1645	-1.68*
γ₉	-0.0599	-0.64
γ₁₀	0.1042	1.46

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3844	6.24***
α ARCH Response to squared shocks	0.1936	6.82***
β GARCH Volatility persistence	0.6497	14.72***

γ₁	0.0133	0.11
γ₂	0.2635	1.42
γ₃	-0.6595	-5.59***
γ₄	0.5302	4.41***
γ₅	-0.0681	-0.60
γ₆	-0.2111	-1.99**
γ₇	0.2796	2.63***
γ₈	-0.1645	-1.68*
γ₉	-0.0599	-0.64
γ₁₀	0.1042	1.46

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