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	0.6432	5.41***
α ARCH Response to squared shocks	0.1580	10.91***
β GARCH Volatility persistence	0.8420	57.92***
γ leverage Additional response to negative shocks	0.1340	3.79***
δ power Transformation power	1.4155	10.92***

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