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	0.3545	26.56***
α ARCH Response to squared shocks	0.3517	37.91***
β GARCH Volatility persistence	0.8637	152.09***
γ leverage Additional response to negative shocks	-0.0081	-0.63

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