CBOE EFA ETF Volatility Index

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{name} Model Equation

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Param	Value	t-stat
ωconst	1.9080	2.30**
αARCH	0.5326	3.91***
βGARCH	0.2149	2.05**

γ₁	34.0503	4.34***
γ₂	-52.4807	-4.52***
γ₃	27.0106	3.00***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9080	2.30**
α ARCH Response to squared shocks	0.5326	3.91***
β GARCH Volatility persistence	0.2149	2.05**

γ₁	34.0503	4.34***
γ₂	-52.4807	-4.52***
γ₃	27.0106	3.00***

V-Lab

Vienna Insurance Group Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Vienna Insurance Group Analyses