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	1.3384	7.77***
αARCH	0.2460	5.94***
βGARCH	0.4837	6.79***

γ₁	0.6103	5.32***
γ₂	-0.9699	-5.23***
γ₃	0.5131	4.48***
γ₄	-0.1850	-2.97***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3384	7.77***
α ARCH Response to squared shocks	0.2460	5.94***
β GARCH Volatility persistence	0.4837	6.79***

γ₁	0.6103	5.32***
γ₂	-0.9699	-5.23***
γ₃	0.5131	4.48***
γ₄	-0.1850	-2.97***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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