CBOE EFA ETF Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1973	9.23***
α ARCH Response to squared shocks	0.1166	9.11***
β GARCH Volatility persistence	0.8529	104.49***
γ leverage Additional response to negative shocks	-0.0201	-0.93

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Gold BY Gold SA GJR-GARCH Volatility Analysis

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