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	0.0021	1.06
αARCH	0.0002	0.01
βGARCH	0.9593	48.07***
γleverage	0.0652	2.25**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0021	1.06
α ARCH Response to squared shocks	0.0002	0.01
β GARCH Volatility persistence	0.9593	48.07***
γ leverage Additional response to negative shocks	0.0652	2.25**

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TD Active US HI Yild BND ETF GJR-GARCH Volatility Analysis

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