CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0157	7.38***
α ARCH Response to squared shocks	0.1661	33.91***
β GARCH Volatility persistence	0.9770	910.56***
γ leverage Additional response to negative shocks	-0.0970	-22.81***

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