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	-0.0032	-0.76
αARCH	0.1717	10.87***
βGARCH	0.9788	294.12***
γleverage	-0.0835	-6.99***

Parameter	Value	t-statistic
ω const Unconditional variance weight	-0.0032	-0.76
α ARCH Response to squared shocks	0.1717	10.87***
β GARCH Volatility persistence	0.9788	294.12***
γ leverage Additional response to negative shocks	-0.0835	-6.99***

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S&P/TSX Composite Index EGARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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