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	3.2590	21.65***
α ARCH Response to squared shocks	0.3375	8.83***
β GARCH Volatility persistence	0.2036	7.45***
γ leverage Additional response to negative shocks	0.0272	0.45

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