CBOE EFA ETF Volatility Index

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Param	Value	t-stat
ωconst	0.2570	3.61***
αARCH	0.2991	6.55***
βGARCH	0.8461	18.46***
γleverage	-0.0332	-0.79

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2570	3.61***
α ARCH Response to squared shocks	0.2991	6.55***
β GARCH Volatility persistence	0.8461	18.46***
γ leverage Additional response to negative shocks	-0.0332	-0.79

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D.L.S.I. EGARCH Volatility Analysis

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