CBOE EFA ETF Volatility Index

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{name} Model Equation

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Param	Value	t-stat
ωconst	0.0515	1.14
αARCH	0.2667	3.62***
βGARCH	0.6208	6.16***
γleverage	-0.0258	-0.30
δpower	1.1900	1.42

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0515	1.14
α ARCH Response to squared shocks	0.2667	3.62***
β GARCH Volatility persistence	0.6208	6.16***
γ leverage Additional response to negative shocks	-0.0258	-0.30
δ power Transformation power	1.1900	1.42

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Kaleon SpA Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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