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	0.7852	5.06***
αARCH	0.0981	9.29***
βGARCH	0.8669	74.25***

γ₁	-0.0048	-0.11
γ₂	0.0825	1.37
γ₃	-0.2075	-5.33***
γ₄	0.2352	6.79***
γ₅	-0.1719	-4.78***
γ₆	0.0773	2.06**
γ₇	0.0082	0.22
γ₈	-0.0102	-0.28
γ₉	-0.0218	-0.84

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7852	5.06***
α ARCH Response to squared shocks	0.0981	9.29***
β GARCH Volatility persistence	0.8669	74.25***

γ₁	-0.0048	-0.11
γ₂	0.0825	1.37
γ₃	-0.2075	-5.33***
γ₄	0.2352	6.79***
γ₅	-0.1719	-4.78***
γ₆	0.0773	2.06**
γ₇	0.0082	0.22
γ₈	-0.0102	-0.28
γ₉	-0.0218	-0.84

V-Lab

S&P/TSX 60 Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P/TSX 60 Index Analyses