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	0.8074	5.46***
αARCH	0.4631	9.24***
βGARCH	0.8062	22.40***
γleverage	-0.0918	-1.83*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8074	5.46***
α ARCH Response to squared shocks	0.4631	9.24***
β GARCH Volatility persistence	0.8062	22.40***
γ leverage Additional response to negative shocks	-0.0918	-1.83*

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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