CBOE EFA ETF Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5294	7.74***
α ARCH Response to squared shocks	0.0912	39.91***
β GARCH Volatility persistence	0.9887	624.59***
ν DF Student-t tail thickness	8.3259	6.67***

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AEX-Index GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

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