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	71
αARCH	0.0000	0.00
βGARCH	0.8504	62.16***
γleverage	0.2117	9.95***
λ₁tau intercept	0.0015	0.70
λ₂forecast adj.	0.0142	1.51
λ₃tau persistence	0.9834	83.05***

Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8504	62.16***
γ leverage Additional response to negative shocks	0.2117	9.95***
λ₁ tau intercept Baseline long-term coefficient	0.0015	0.70
λ₂ forecast adj. Forecast performance sensitivity	0.0142	1.51
λ₃ tau persistence Long-term factor persistence	0.9834	83.05***

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Vanguard Ftse Canada IDX ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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