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	61
αARCH	0.0515	5.24***
βGARCH	0.8480	49.55***
γleverage	0.0730	4.24***
λ₁tau intercept	0.0067	1.43
λ₂forecast adj.	0.0397	2.14**
λ₃tau persistence	0.9556	46.18***

Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0515	5.24***
β GARCH Volatility persistence	0.8480	49.55***
γ leverage Additional response to negative shocks	0.0730	4.24***
λ₁ tau intercept Baseline long-term coefficient	0.0067	1.43
λ₂ forecast adj. Forecast performance sensitivity	0.0397	2.14**
λ₃ tau persistence Long-term factor persistence	0.9556	46.18***

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RioCan Real Estate Investment Trust MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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