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	1.5023	5.50***
αARCH	0.0896	9.10***
βGARCH	0.8750	65.14***

γ₁	-0.0270	-1.32
γ₂	0.0941	3.16***
γ₃	-0.1285	-5.98***
γ₄	0.0847	4.47***
γ₅	-0.0111	-0.71
γ₆	-0.0233	-2.21**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5023	5.50***
α ARCH Response to squared shocks	0.0896	9.10***
β GARCH Volatility persistence	0.8750	65.14***

γ₁	-0.0270	-1.32
γ₂	0.0941	3.16***
γ₃	-0.1285	-5.98***
γ₄	0.0847	4.47***
γ₅	-0.0111	-0.71
γ₆	-0.0233	-2.21**

V-Lab

RioCan Real Estate Investment Trust Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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