CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.4033	18.52***
β GARCH Volatility persistence	0.1016	4.38***
γ leverage Additional response to negative shocks	-0.0233	-0.69
λ₁ tau intercept Baseline long-term coefficient	1.1246	0.71
λ₂ forecast adj. Forecast performance sensitivity	0.1487	0.73
λ₃ tau persistence Long-term factor persistence	0.7085	1.75*

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Bellini Nautica S P A MF2-GARCH Volatility Analysis

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