CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3035	5.39***
α ARCH Response to squared shocks	0.2254	15.26***
β GARCH Volatility persistence	0.7746	66.32***
γ leverage Additional response to negative shocks	0.2208	2.87***
δ power Transformation power	1.7142	12.38***

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Avanza Bank Holding AB APARCH Volatility Analysis

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