FTSE 100 Implied Volatility Index 30 Days

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	91
α ARCH Response to squared shocks	0.0998	9.03***
β GARCH Volatility persistence	0.7513	43.95***
γ leverage Additional response to negative shocks	0.0193	1.17
λ₁ tau intercept Baseline long-term coefficient	0.0024	0.10
λ₂ forecast adj. Forecast performance sensitivity	0.0049	1.60
λ₃ tau persistence Long-term factor persistence	0.9951	154.74***

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