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	1.1281	5.76***
α ARCH Response to squared shocks	0.2122	6.40***
β GARCH Volatility persistence	0.6628	16.27***

γ₁	-0.0047	-0.05
γ₂	0.0162	0.11
γ₃	-0.0220	-0.14
γ₄	0.0110	0.07
γ₅	0.0228	0.17
γ₆	0.0086	0.07
γ₇	-0.2406	-2.03**
γ₈	0.5050	3.77***
γ₉	-0.5488	-3.61***
γ₁₀	0.3665	3.05***

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Coil Zero Slope Spline-GARCH Volatility Analysis

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