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	0.2536	3.04***
α ARCH Response to squared shocks	0.0257	10.06***
β GARCH Volatility persistence	0.9712	288.37***
γ leverage Additional response to negative shocks	0.2244	7.88***
δ power Transformation power	1.8986	22.85***

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