S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	3.2693	13.44***
α ARCH Response to squared shocks	0.0935	12.54***
β GARCH Volatility persistence	0.8559	137.62***
γ leverage Additional response to negative shocks	0.0182	1.24

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