S&P / TSX 60 VIX Index CAD

CBOE EFA ETF Volatility Index

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	param	t-stat
$ω$	1.5337	6.78
$α$	0.1218	9.65
$β$	0.8450	59.27
$γ_{1}$	0.0341	2.64
$γ_{2}$	-0.0521	-2.69
$γ_{3}$	0.0389	2.46
$γ_{4}$	-0.0301	-2.56

V-Lab

Ishares Core Sp500 IDX (Cad) Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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