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	0.0311	8.10***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9720	320.78***
γ leverage Additional response to negative shocks	0.0387	7.39***

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Christian Dior SE GJR-GARCH Volatility Analysis

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