CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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	param	t-stat
$ω$	0.6607	3.89
$α$	0.2933	4.48
$β$	0.3834	3.90
$γ_{1}$	1.5875	0.89
$γ_{2}$	-1.8885	-0.73
$γ_{3}$	0.5261	0.30
$γ_{4}$	-0.2000	-0.12
$γ_{5}$	2.9089	1.51
$γ_{6}$	-5.4637	-1.59
$γ_{7}$	0.3670	0.09
$γ_{8}$	3.9081	1.51

V-Lab

BEVEST ASA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other BEVEST ASA Analyses