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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.0484	13.41***
α ARCH Response to squared shocks	0.1127	14.63***
β GARCH Volatility persistence	0.8318	98.29***
γ leverage Additional response to negative shocks	-0.0044	-0.36

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CBOE EuroCurrency ETF Volatility Index Asy. MEM Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE EuroCurrency ETF Volatility Index Analyses