S&P / TSX 60 VIX Index CAD

CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0380	14.67***
α ARCH Response to squared shocks	0.0934	23.36***
β GARCH Volatility persistence	0.8773	191.42***
γ leverage Additional response to negative shocks	0.1690	10.49***
δ power Transformation power	1.8001	30.88***

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