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	1.0452	5.83***
α ARCH Response to squared shocks	0.2023	6.17***
β GARCH Volatility persistence	0.6545	14.70***

γ₁	-0.0393	-0.46
γ₂	0.0670	0.45
γ₃	-0.0435	-0.29
γ₄	0.0157	0.11
γ₅	0.0256	0.20
γ₆	0.0005	0.00
γ₇	-0.2151	-1.80*
γ₈	0.4359	3.02***
γ₉	-0.3781	-1.98**
γ₁₀	-0.1071	-0.43

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