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	0.0792	6.90***
α ARCH Response to squared shocks	0.1295	18.48***
β GARCH Volatility persistence	0.9860	570.58***
γ leverage Additional response to negative shocks	-0.0783	-11.88***

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