DAX Volatility Index

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EURO STOXX 50 Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1737	9.44***
α ARCH Response to squared shocks	0.0394	4.94***
β GARCH Volatility persistence	0.9466	92.02***

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Capgemini Se Zero Slope Spline-GARCH Volatility Analysis

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