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	19.2508	3.00***
αARCH	0.0868	1.15
βGARCH	0.8978	11.07***
νDF	13.1998	0.13

Parameter	Value	t-statistic
ω const Unconditional variance weight	19.2508	3.00***
α ARCH Response to squared shocks	0.0868	1.15
β GARCH Volatility persistence	0.8978	11.07***
ν DF Student-t tail thickness	13.1998	0.13

V-Lab

Purpose Solana ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Purpose Solana ETF Analyses