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
ω const Unconditional variance weight	0.8960	8.33***
α ARCH Response to squared shocks	0.0819	36.29***
β GARCH Volatility persistence	0.9886	706.66***
ν DF Student-t tail thickness	8.1156	6.27***

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S&P/TSX 60 Index GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

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