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	1.4264	7.27***
αARCH	0.1164	8.38***
βGARCH	0.8501	51.77***

γ₁	0.0220	3.97***
γ₂	-0.0275	-3.93***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4264	7.27***
α ARCH Response to squared shocks	0.1164	8.38***
β GARCH Volatility persistence	0.8501	51.77***

γ₁	0.0220	3.97***
γ₂	-0.0275	-3.93***

V-Lab

BetaPro NASDAQ-100 2x Daily Bull ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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