CBOE EFA ETF Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	9.6982	5.92***
α ARCH Response to squared shocks	0.2135	7.03***
β GARCH Volatility persistence	0.7393	15.43***
ν DF Student-t tail thickness	3.1741	6.14***

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bellini Nautica S P A Analyses