S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8572	252.92***
γ leverage Additional response to negative shocks	0.1583	46.30***
λ₁ tau intercept Baseline long-term coefficient	0.0098	5.23***
λ₂ forecast adj. Forecast performance sensitivity	0.0752	7.59***
λ₃ tau persistence Long-term factor persistence	0.9118	75.52***

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