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	0.7437	4.58***
αARCH	0.1098	9.64***
βGARCH	0.8512	67.12***

γ₁	0.0060	0.12
γ₂	0.0633	0.94
γ₃	-0.1954	-4.72***
γ₄	0.2392	6.69***
γ₅	-0.1955	-5.51***
γ₆	0.1007	2.65***
γ₇	0.0017	0.04
γ₈	-0.0091	-0.23
γ₉	-0.0274	-0.97

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7437	4.58***
α ARCH Response to squared shocks	0.1098	9.64***
β GARCH Volatility persistence	0.8512	67.12***

γ₁	0.0060	0.12
γ₂	0.0633	0.94
γ₃	-0.1954	-4.72***
γ₄	0.2392	6.69***
γ₅	-0.1955	-5.51***
γ₆	0.1007	2.65***
γ₇	0.0017	0.04
γ₈	-0.0091	-0.23
γ₉	-0.0274	-0.97

V-Lab

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