S&P / TSX 60 VIX Index CAD

CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1736	6.66***
α ARCH Response to squared shocks	0.0808	9.14***
β GARCH Volatility persistence	0.8646	56.15***
γ leverage Additional response to negative shocks	0.0405	0.61
δ power Transformation power	1.0304	5.92***

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