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
mwindow	36
αARCH	0.2352	11.27***
βGARCH	0.8194	44.58***
γleverage	-0.2352	-11.20***
λ₁tau intercept	0.1133	1.26
λ₂forecast adj.	0.0562	1.40
λ₃tau persistence	0.9268	17.94***

Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.2352	11.27***
β GARCH Volatility persistence	0.8194	44.58***
γ leverage Additional response to negative shocks	-0.2352	-11.20***
λ₁ tau intercept Baseline long-term coefficient	0.1133	1.26
λ₂ forecast adj. Forecast performance sensitivity	0.0562	1.40
λ₃ tau persistence Long-term factor persistence	0.9268	17.94***

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Betapro Nasdaq-100 -2X D ETF MF2-GARCH Volatility Analysis

Date Range:

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