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	-0.0173	-0.74
αARCH	0.0625	0.88
βGARCH	0.9755	18.22***
γleverage	-0.0994	-1.41

Parameter	Value	t-statistic
ω const Unconditional variance weight	-0.0173	-0.74
α ARCH Response to squared shocks	0.0625	0.88
β GARCH Volatility persistence	0.9755	18.22***
γ leverage Additional response to negative shocks	-0.0994	-1.41

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TD Active US HI Yild BND ETF EGARCH Volatility Analysis

Date Range:

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