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	2.6454	6.21***
α ARCH Response to squared shocks	0.2102	7.63***
β GARCH Volatility persistence	0.6683	14.35***

γ₁	0.6507	4.23***
γ₂	-1.1297	-4.53***
γ₃	0.9050	5.04***
γ₄	-0.7923	-4.91***
γ₅	0.5424	3.27***
γ₆	-0.0947	-0.61
γ₇	-0.1929	-1.25
γ₈	0.1449	0.83
γ₉	-0.0563	-0.19

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Urbana Corp Spline-GARCH Volatility Analysis

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