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	106
αARCH	0.1789	4.42***
βGARCH	0.4626	7.62***
γleverage	0.2225	2.17**
λ₁tau intercept	10.0000	2.25**
λ₂forecast adj.	0.8907	8.34***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	106
α ARCH Response to squared shocks	0.1789	4.42***
β GARCH Volatility persistence	0.4626	7.62***
γ leverage Additional response to negative shocks	0.2225	2.17**
λ₁ tau intercept Baseline long-term coefficient	10.0000	2.25**
λ₂ forecast adj. Forecast performance sensitivity	0.8907	8.34***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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

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