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	1.0000	6.91***
α ARCH Response to squared shocks	0.0758	18.41***
β GARCH Volatility persistence	0.9123	224.05***
γ leverage Additional response to negative shocks	0.0493	1.23
δ power Transformation power	1.7694	29.45***

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