S&P / TSX 60 VIX Index CAD

CBOE EFA ETF Volatility Index

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.3299	13.90***
α ARCH Response to squared shocks	0.3139	11.47***
β GARCH Volatility persistence	0.4434	21.44***
γ leverage Additional response to negative shocks	0.1842	3.15***

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