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
ωlong-run	8.2609	1.59
αscore	0.1021	6.15***
βpersistence	0.9842	89.57***
νDF	8.1245	1.17

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	8.2609	1.59
α score Weight on the scaled score	0.1021	6.15***
β persistence Volatility persistence	0.9842	89.57***
ν DF Student-t tail thickness	8.1245	1.17

V-Lab

Betapro Nasdaq-100 -2X D ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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