CBOE Emerging Market Markets Volatility Index

EURO STOXX 50 Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.1153	21.50***
β GARCH Volatility persistence	0.7301	82.37***
γ leverage Additional response to negative shocks	0.1167	14.00***
λ₁ tau intercept Baseline long-term coefficient	0.0118	6.68***
λ₂ forecast adj. Forecast performance sensitivity	0.0298	8.46***
λ₃ tau persistence Long-term factor persistence	0.9649	233.02***

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