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	1.2203	22.24***
α ARCH Response to squared shocks	0.2008	27.31***
β GARCH Volatility persistence	0.6913	77.83***
γ leverage Additional response to negative shocks	0.1772	1.69*

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