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	0.9251	1.77*
α ARCH Response to squared shocks	0.1715	2.03**
β GARCH Volatility persistence	0.3171	1.04

γ₁	-18.7175	-0.87
γ₂	55.8101	1.88*
γ₃	-56.9042	-3.02***
γ₄	-2.3376	-0.09

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Avanza Bank Holding AB Spline-GARCH Volatility Analysis

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