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	0.4145	11.85***
α ARCH Response to squared shocks	0.2163	13.43***
β GARCH Volatility persistence	0.6964	67.04***
γ leverage Additional response to negative shocks	0.0058	0.21

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Eagle Football Group GJR-GARCH Volatility Analysis

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