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
m window Rolling window length	41
α ARCH Response to squared shocks	0.0150	4.97***
β GARCH Volatility persistence	0.8250	216.03***
γ leverage Additional response to negative shocks	0.1678	38.08***
λ₁ tau intercept Baseline long-term coefficient	0.0038	6.52***
λ₂ forecast adj. Forecast performance sensitivity	0.0469	8.57***
λ₃ tau persistence Long-term factor persistence	0.9483	152.65***

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