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	1.3615	5.11***
α ARCH Response to squared shocks	0.2366	2.38**
β GARCH Volatility persistence	0.5675	5.55***
ν DF Student-t tail thickness	4.8891	1.12

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Kaleon SpA GAS-GARCH Student T Volatility Analysis

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News Impact Curve

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