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	0.4430	16.47***
α ARCH Response to squared shocks	0.2034	27.76***
β GARCH Volatility persistence	0.7473	82.81***
γ leverage Additional response to negative shocks	0.0237	1.01
δ power Transformation power	1.1512	24.36***

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