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	0.8574	254.12***
γ leverage Additional response to negative shocks	0.1585	46.40***
λ₁ tau intercept Baseline long-term coefficient	0.0096	5.28***
λ₂ forecast adj. Forecast performance sensitivity	0.0739	7.68***
λ₃ tau persistence Long-term factor persistence	0.9134	77.86***

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