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	2.2695	5.74***
αARCH	0.2181	8.84***
βGARCH	0.6014	12.84***

γ₁	0.0081	0.32
γ₂	0.0138	0.41
γ₃	-0.0850	-3.89***
γ₄	0.1374	5.98***
γ₅	-0.0894	-3.40***
γ₆	0.0135	0.58

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.2695	5.74***
α ARCH Response to squared shocks	0.2181	8.84***
β GARCH Volatility persistence	0.6014	12.84***

γ₁	0.0081	0.32
γ₂	0.0138	0.41
γ₃	-0.0850	-3.89***
γ₄	0.1374	5.98***
γ₅	-0.0894	-3.40***
γ₆	0.0135	0.58

V-Lab

Plaza Retail Reit Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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