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	0.1775	17.31***
α ARCH Response to squared shocks	0.2012	24.28***
β GARCH Volatility persistence	0.8787	288.95***
γ leverage Additional response to negative shocks	-0.1952	-22.03***

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Betapro Nasdaq-100 -2X D ETF GJR-GARCH Volatility Analysis

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