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
ωconst	0.0914	5.84***
αARCH	0.1037	7.33***
βGARCH	0.8860	63.88***
γleverage	0.8049	4.18***
δpower	0.8663	5.92***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0914	5.84***
α ARCH Response to squared shocks	0.1037	7.33***
β GARCH Volatility persistence	0.8860	63.88***
γ leverage Additional response to negative shocks	0.8049	4.18***
δ power Transformation power	0.8663	5.92***

V-Lab

BetaPro NASDAQ-100 2x Daily Bull ETF APARCH Volatility Analysis

Date Range:

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