CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9811	211.62***
γ leverage Additional response to negative shocks	0.0307	8.73***
λ₁ tau intercept Baseline long-term coefficient	3.9735	0.03
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Christian Dior SE MF2-GARCH Volatility Analysis

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