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
m window Rolling window length	126
α ARCH Response to squared shocks	0.0587	4.53***
β GARCH Volatility persistence	0.2239	7.79***
γ leverage Additional response to negative shocks	0.1127	2.88***
λ₁ tau intercept Baseline long-term coefficient	0.0842	0.38
λ₂ forecast adj. Forecast performance sensitivity	0.1922	2.13**
λ₃ tau persistence Long-term factor persistence	0.8078	4.61***

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