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
mwindow	41
αARCH	0.0000	0.00
βGARCH	0.9706	88.04***
γleverage	0.0488	3.05***
λ₁tau intercept	0.1429	1.15
λ₂forecast adj.	0.1544	0.70
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9706	88.04***
γ leverage Additional response to negative shocks	0.0488	3.05***
λ₁ tau intercept Baseline long-term coefficient	0.1429	1.15
λ₂ forecast adj. Forecast performance sensitivity	0.1544	0.70
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

TD Active US HI Yild BND ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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