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	1.2920	7.74***
αARCH	0.2394	5.95***
βGARCH	0.4661	5.84***

γ₁	0.6388	4.56***
γ₂	-0.7147	-3.27***
γ₃	-0.2686	-1.34
γ₄	0.8465	3.49***
γ₅	-1.3454	-4.99***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2920	7.74***
α ARCH Response to squared shocks	0.2394	5.95***
β GARCH Volatility persistence	0.4661	5.84***

γ₁	0.6388	4.56***
γ₂	-0.7147	-3.27***
γ₃	-0.2686	-1.34
γ₄	0.8465	3.49***
γ₅	-1.3454	-4.99***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P / TSX 60 VIX Index CAD Analyses