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
ωlong-run	0.9379	2.17**
αscore	0.0879	8.84***
βpersistence	0.9885	180.88***
νDF	9.2121	1.35

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	0.9379	2.17**
α score Weight on the scaled score	0.0879	8.84***
β persistence Volatility persistence	0.9885	180.88***
ν DF Student-t tail thickness	9.2121	1.35

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P/TSX 60 Index Analyses