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	0.0107	2.94***
α ARCH Response to squared shocks	0.1227	29.11***
β GARCH Volatility persistence	0.9769	583.57***
γ leverage Additional response to negative shocks	-0.1032	-22.99***

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