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	1.0000	5.50***
α ARCH Response to squared shocks	0.1395	16.93***
β GARCH Volatility persistence	0.7931	70.41***
γ leverage Additional response to negative shocks	-0.0795	-1.52
δ power Transformation power	1.2051	15.66***

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