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	0.1618	2.20**
αARCH	0.0324	1.60
βGARCH	0.8767	12.13***

γ₁	-14.6469	-3.80***
γ₂	16.5121	2.84***
γ₃	2.3322	0.67
γ₄	-7.0830	-2.76***
γ₅	2.1130	0.95
γ₆	1.1056	0.53
γ₇	0.4013	0.23
γ₈	-1.5882	-1.12
γ₉	1.4811	1.26
γ₁₀	-0.6473	-0.78

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1618	2.20**
α ARCH Response to squared shocks	0.0324	1.60
β GARCH Volatility persistence	0.8767	12.13***

γ₁	-14.6469	-3.80***
γ₂	16.5121	2.84***
γ₃	2.3322	0.67
γ₄	-7.0830	-2.76***
γ₅	2.1130	0.95
γ₆	1.1056	0.53
γ₇	0.4013	0.23
γ₈	-1.5882	-1.12
γ₉	1.4811	1.26
γ₁₀	-0.6473	-0.78

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