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	76
α ARCH Response to squared shocks	0.1753	8.52***
β GARCH Volatility persistence	0.6725	31.05***
γ leverage Additional response to negative shocks	0.0591	2.79***
λ₁ tau intercept Baseline long-term coefficient	0.2208	1.63
λ₂ forecast adj. Forecast performance sensitivity	0.0255	1.69*
λ₃ tau persistence Long-term factor persistence	0.9537	36.73***

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Investeringsselskabet af 3. november 2025 A/S MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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