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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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0007	1.38
α ARCH Response to squared shocks	0.0165	1.18
β GARCH Volatility persistence	0.9527	49.19***
γ leverage Additional response to negative shocks	0.3649	0.94
δ power Transformation power	2.8869	5.84***

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TD Active US HI Yild BND ETF APARCH Volatility Analysis

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