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	0.7373	4.52***
αARCH	0.1094	9.61***
βGARCH	0.8519	67.29***

γ₁	0.0029	0.06
γ₂	0.0683	1.00
γ₃	-0.1981	-4.76***
γ₄	0.2399	6.67***
γ₅	-0.1946	-5.42***
γ₆	0.0994	2.59***
γ₇	0.0015	0.04
γ₈	-0.0070	-0.18
γ₉	-0.0294	-1.04

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7373	4.52***
α ARCH Response to squared shocks	0.1094	9.61***
β GARCH Volatility persistence	0.8519	67.29***

γ₁	0.0029	0.06
γ₂	0.0683	1.00
γ₃	-0.1981	-4.76***
γ₄	0.2399	6.67***
γ₅	-0.1946	-5.42***
γ₆	0.0994	2.59***
γ₇	0.0015	0.04
γ₈	-0.0070	-0.18
γ₉	-0.0294	-1.04

V-Lab

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