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Parameter	Value	t-statistic
ω const Unconditional variance weight	34.3420	5.86***
α ARCH Response to squared shocks	0.0607	26.90***
β GARCH Volatility persistence	0.9816	410.36***
ν DF Student-t tail thickness	3.7379	12.38***

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CBOE EuroCurrency ETF Volatility Index GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE EuroCurrency ETF Volatility Index Analyses