CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9903	14.58***
α ARCH Response to squared shocks	0.2130	42.60***
β GARCH Volatility persistence	0.6860	108.89***
γ leverage Additional response to negative shocks	-0.0151	-1.73*
δ power Transformation power	2.0254	34.30***

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