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	0.6363	4.30***
α ARCH Response to squared shocks	0.2319	7.35***
β GARCH Volatility persistence	0.6735	17.37***

γ₁	-0.3426	-1.54
γ₂	0.4247	1.19
γ₃	-0.2673	-1.00
γ₄	0.5730	2.73***
γ₅	-0.9295	-4.08***
γ₆	0.9302	4.06***
γ₇	-0.4071	-1.53
γ₈	0.0173	0.05
γ₉	-0.0900	-0.19
γ₁₀	0.1146	0.29

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Eagle Football Group Zero Slope Spline-GARCH Volatility Analysis

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