S&P / TSX 60 VIX Index CAD

CBOE EFA ETF Volatility Index

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	param	t-stat
$m$	41
$α$	0.0150	4.98
$β$	0.8260	217.60
$γ$	0.1674	37.89
$λ_{1}$	0.0037	6.53
$λ_{2}$	0.0470	8.59
$λ_{3}$	0.9484	153.21

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S&P/TSX Composite Index MF2-GARCH Volatility Analysis

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Parameter Estimates

News Impact Curve

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