EURO STOXX 50 Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1211	11.35***
α ARCH Response to squared shocks	0.1349	7.20***
β GARCH Volatility persistence	0.8331	126.12***
γ leverage Additional response to negative shocks	0.0178	0.58

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Conpet SA GJR-GARCH Volatility Analysis

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