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	2.5969	26.04***
α ARCH Response to squared shocks	0.1002	6.88***
β GARCH Volatility persistence	0.2824	22.76***
γ leverage Additional response to negative shocks	0.5343	1.60

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