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
m window Rolling window length	36
α ARCH Response to squared shocks	0.0109	4.12***
β GARCH Volatility persistence	0.8403	229.46***
γ leverage Additional response to negative shocks	0.1557	38.63***
λ₁ tau intercept Baseline long-term coefficient	0.0034	6.47***
λ₂ forecast adj. Forecast performance sensitivity	0.0402	8.28***
λ₃ tau persistence Long-term factor persistence	0.9558	175.30***

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