CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.1005	2.95***
β GARCH Volatility persistence	0.7770	28.88***
γ leverage Additional response to negative shocks	-0.1005	-2.90***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0815	2.96***
λ₃ tau persistence Long-term factor persistence	0.7879	45.99***

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Avanza Bank Holding AB MF2-GARCH Volatility Analysis

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