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	0.0497	24.36***
α ARCH Response to squared shocks	0.0819	1.58
β GARCH Volatility persistence	0.8669	183.17***
γ leverage Additional response to negative shocks	1.0000	1.02
δ power Transformation power	1.2581	29.77***

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