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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0395	9.06***
α ARCH Response to squared shocks	0.1074	23.84***
β GARCH Volatility persistence	0.8506	186.33***
γ leverage Additional response to negative shocks	-1.9352	-7.24***

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CBOE EuroCurrency ETF Volatility Index AGARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE EuroCurrency ETF Volatility Index Analyses