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	0.0277	1.70*
α ARCH Response to squared shocks	0.0438	11.93***
β GARCH Volatility persistence	0.9950	349.75***
γ leverage Additional response to negative shocks	-0.0404	-7.39***

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