S&P / TSX 60 VIX Index CAD

CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0151	1.91*
β GARCH Volatility persistence	0.6871	59.85***
γ leverage Additional response to negative shocks	0.2320	21.22***
λ₁ tau intercept Baseline long-term coefficient	1.0961	0.21
λ₂ forecast adj. Forecast performance sensitivity	0.5620	0.21
λ₃ tau persistence Long-term factor persistence	0.0344	0.01

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