S&P / TSX 60 VIX Index CAD

CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.5873	6.07***
α ARCH Response to squared shocks	0.2094	7.62***
β GARCH Volatility persistence	0.6700	14.39***

γ₁	0.6282	4.02***
γ₂	-1.0942	-4.32***
γ₃	0.8808	4.85***
γ₄	-0.7717	-4.78***
γ₅	0.5273	3.18***
γ₆	-0.0885	-0.57
γ₇	-0.1877	-1.25
γ₈	0.1225	0.90
γ₉	0.0125	0.12

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Urbana Corp Zero Slope Spline-GARCH Volatility Analysis

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