CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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	param	t-stat
$ω$	0.6782	7.22
$α$	0.1267	3.79
$β$	0.7266	14.54
$γ_{1}$	-0.7454	-3.95
$γ_{2}$	1.3228	4.33
$γ_{3}$	-1.0009	-4.77
$γ_{4}$	0.6780	3.18
$γ_{5}$	-0.5224	-2.18
$γ_{6}$	0.5976	3.01
$γ_{7}$	-0.5324	-3.39
$γ_{8}$	0.1641	1.18
$γ_{9}$	0.1089	0.85
$γ_{10}$	-0.0679	-0.71

V-Lab

CaixaBank SA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CaixaBank SA Analyses