S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0205	22.12***
α ARCH Response to squared shocks	0.0135	6.77***
β GARCH Volatility persistence	0.8945	422.32***
γ leverage Additional response to negative shocks	0.1317	24.25***

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