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	1.2244	6.44***
α ARCH Response to squared shocks	0.2190	2.19**
β GARCH Volatility persistence	0.4932	5.09***
ν DF Student-t tail thickness	5.3098	0.93

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Kaleon SpA GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kaleon SpA Analyses