CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4420	4.94***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.4910	0.39

γ₁	2.5396	3.69***
γ₂	-4.3263	-3.94***
γ₃	2.9957	2.59***
γ₄	-1.4546	-1.07
γ₅	0.1139	0.10
γ₆	0.1461	0.25

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Christian Dior SE Zero Slope Spline-GARCH Volatility Analysis

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