CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1029	14.64***
α ARCH Response to squared shocks	0.0525	13.36***
β GARCH Volatility persistence	0.9300	438.05***
γ leverage Additional response to negative shocks	0.0058	1.01

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