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	1.5017	1.49
αARCH	0.1067	8.80***
βGARCH	0.9873	107.66***
νDF	7.2048	1.84*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5017	1.49
α ARCH Response to squared shocks	0.1067	8.80***
β GARCH Volatility persistence	0.9873	107.66***
ν DF Student-t tail thickness	7.2048	1.84*

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ishares Core Sp500 IDX (Cad) Analyses