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
ωlong-run	1.5258	1.60
αscore	0.1115	8.55***
βpersistence	0.9868	108.15***
νDF	8.0741	1.59

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	1.5258	1.60
α score Weight on the scaled score	0.1115	8.55***
β persistence Volatility persistence	0.9868	108.15***
ν DF Student-t tail thickness	8.0741	1.59

V-Lab

Ishares Core Sp500 IDX (Cad) GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

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