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	2.5582	13.25***
α ARCH Response to squared shocks	0.0566	20.63***
β GARCH Volatility persistence	0.9055	251.19***
γ leverage Additional response to negative shocks	0.4561	0.93

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