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	0.0254	18.50***
α ARCH Response to squared shocks	0.0225	8.18***
β GARCH Volatility persistence	0.8930	416.50***
γ leverage Additional response to negative shocks	0.1299	24.68***

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AEX-Index GJR-GARCH Volatility Analysis

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