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	0.1613	2.18**
αARCH	0.0333	1.63
βGARCH	0.8750	12.21***

γ₁	-14.7078	-3.73***
γ₂	16.4544	2.78***
γ₃	2.5556	0.73
γ₄	-7.1318	-2.77***
γ₅	1.9328	0.87
γ₆	1.3282	0.63
γ₇	0.1491	0.09
γ₈	-1.1915	-0.84
γ₉	0.9583	0.80
γ₁₀	-0.2258	-0.26

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1613	2.18**
α ARCH Response to squared shocks	0.0333	1.63
β GARCH Volatility persistence	0.8750	12.21***

γ₁	-14.7078	-3.73***
γ₂	16.4544	2.78***
γ₃	2.5556	0.73
γ₄	-7.1318	-2.77***
γ₅	1.9328	0.87
γ₆	1.3282	0.63
γ₇	0.1491	0.09
γ₈	-1.1915	-0.84
γ₉	0.9583	0.80
γ₁₀	-0.2258	-0.26

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