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	126
αARCH	0.1895	4.59***
βGARCH	0.4576	7.30***
γleverage	0.1998	1.96*
λ₁tau intercept	10.0000	3.10***
λ₂forecast adj.	0.8162	7.03***
λ₃tau persistence	0.0661	0.69

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1895	4.59***
β GARCH Volatility persistence	0.4576	7.30***
γ leverage Additional response to negative shocks	0.1998	1.96*
λ₁ tau intercept Baseline long-term coefficient	10.0000	3.10***
λ₂ forecast adj. Forecast performance sensitivity	0.8162	7.03***
λ₃ tau persistence Long-term factor persistence	0.0661	0.69

V-Lab

S&P / TSX 60 VIX Index CAD MF2-GARCH Volatility Analysis

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