CBOE EFA ETF Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	6.7143	7.28***
α ARCH Response to squared shocks	0.3470	12.50***
β GARCH Volatility persistence	0.5643	35.81***
γ leverage Additional response to negative shocks	-3.1862	-4.02***

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