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	1.4446	7.21***
α ARCH Response to squared shocks	0.1164	8.22***
β GARCH Volatility persistence	0.8524	53.18***

γ₁	0.0219	3.97***
γ₂	-0.0272	-3.90***

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