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	0.0254	4.08***
αARCH	0.0018	0.09
βGARCH	0.8870	72.30***
γleverage	0.1789	5.98***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0254	4.08***
α ARCH Response to squared shocks	0.0018	0.09
β GARCH Volatility persistence	0.8870	72.30***
γ leverage Additional response to negative shocks	0.1789	5.98***

V-Lab

Ishares Core Sp500 IDX (Cad) GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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