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	11.6052	6.37***
αARCH	0.3030	6.46***
βGARCH	0.5298	12.94***
γleverage	1.8300	1.41

Parameter	Value	t-statistic
ω const Unconditional variance weight	11.6052	6.37***
α ARCH Response to squared shocks	0.3030	6.46***
β GARCH Volatility persistence	0.5298	12.94***
γ leverage Additional response to negative shocks	1.8300	1.41

V-Lab

S&P / TSX 60 VIX Index CAD AGARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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