CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8589	6.14***
α ARCH Response to squared shocks	0.1247	5.77***
β GARCH Volatility persistence	0.6268	10.03***

γ₁	0.2628	3.53***
γ₂	-0.5259	-4.85***
γ₃	0.4695	4.66***
γ₄	-0.2802	-3.04***
γ₅	0.0977	1.05
γ₆	-0.0916	-0.98
γ₇	0.1645	2.03**
γ₈	-0.1526	-3.04***

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ams-OSRAM AG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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