V-Lab: S&P / TSX 60 VIX Index CAD Zero Slope Spline-GARCH Volatility Analysis

V-Lab

S&P / TSX 60 VIX Index CAD Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 2nd, 2025:105.20% (-1.48%)

Analysis last updated: Friday, May 2, 2025 at 11:56 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2178	6.70
$α$	0.2321	6.06
$β$	0.5045	6.45
$γ_{1}$	0.4903	1.65
$γ_{2}$	-0.1143	-0.25
$γ_{3}$	-0.5969	-1.64
$γ_{4}$	-0.3174	-0.75
$γ_{5}$	1.1775	2.52
$γ_{6}$	-0.8534	-2.83

Estimation Period:
Jan 2, 2017 to Apr 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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