CBOE EFA ETF Volatility Index

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FTSE 100 Implied Volatility Index 30 Days

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	91
α ARCH Response to squared shocks	0.5404	17.75***
β GARCH Volatility persistence	0.3178	23.42***
γ leverage Additional response to negative shocks	-0.1094	-1.65*
λ₁ tau intercept Baseline long-term coefficient	0.8267	0.81
λ₂ forecast adj. Forecast performance sensitivity	0.0073	1.26
λ₃ tau persistence Long-term factor persistence	0.9672	26.04***

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Abionyx Pharma SA MF2-GARCH Volatility Analysis

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