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	36
α ARCH Response to squared shocks	0.1955	16.89***
β GARCH Volatility persistence	0.6091	12.30***
γ leverage Additional response to negative shocks	0.0123	0.80
λ₁ tau intercept Baseline long-term coefficient	2.0652	0.99
λ₂ forecast adj. Forecast performance sensitivity	0.4694	0.52
λ₃ tau persistence Long-term factor persistence	0.0260	0.02

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Eagle Football Group MF2-GARCH Volatility Analysis

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