S&P / TSX 60 VIX Index CAD

CBOE EFA ETF Volatility Index

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	param	t-stat
$m$	46
$α$	0.0160	2.02
$β$	0.6878	59.90
$γ$	0.2310	20.94
$λ_{1}$	1.1094	0.21
$λ_{2}$	0.5656	0.21
$λ_{3}$	0.0278	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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