CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0254	27.12***
α ARCH Response to squared shocks	0.0726	22.60***
β GARCH Volatility persistence	0.8558	300.90***
γ leverage Additional response to negative shocks	0.1111	15.12***

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Straits Times Index STI GJR-GARCH Volatility Analysis

Date Range:

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