CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1343	8.37***
α ARCH Response to squared shocks	0.3559	17.19***
β GARCH Volatility persistence	0.9552	144.27***
γ leverage Additional response to negative shocks	-0.1047	-3.54***

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Avanza Bank Holding AB EGARCH Volatility Analysis

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