CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	10.1981	5.36***
α ARCH Response to squared shocks	0.2042	6.49***
β GARCH Volatility persistence	0.7276	13.08***
ν DF Student-t tail thickness	2.9657	6.32***

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Bellini Nautica S P A GAS-GARCH Student T Volatility Analysis

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