S&P / TSX 60 VIX Index CAD

CBOE EFA ETF Volatility Index

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	param	t-stat
$m$	46
$α$	0.0153	1.95
$β$	0.6877	60.88
$γ$	0.2342	21.44
$λ_{1}$	1.0835	0.22
$λ_{2}$	0.5621	0.22
$λ_{3}$	0.0397	0.01

V-Lab

BMO Equal Weight US BKS Indx MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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