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
m window Rolling window length	36
α ARCH Response to squared shocks	0.2352	42.35***
β GARCH Volatility persistence	0.8184	146.43***
γ leverage Additional response to negative shocks	-0.2352	-40.71***
λ₁ tau intercept Baseline long-term coefficient	0.1151	3.61***
λ₂ forecast adj. Forecast performance sensitivity	0.0596	4.32***
λ₃ tau persistence Long-term factor persistence	0.9233	50.83***

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

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