CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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	param	t-stat
$ω$	0.6846	2.58
$α$	0.0687	2.70
$β$	0.8359	12.69
$γ_{1}$	3.3443	2.83
$γ_{2}$	-5.8407	-2.56
$γ_{3}$	3.3444	1.46
$γ_{4}$	-1.1128	-0.68
$γ_{5}$	1.6797	1.32
$γ_{6}$	-3.6355	-2.30
$γ_{7}$	3.9780	2.84
$γ_{8}$	-2.4539	-3.58

V-Lab

2Crsi S.A. Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other 2Crsi S.A. Analyses