S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0532	9.98***
β GARCH Volatility persistence	0.8217	45.51***
γ leverage Additional response to negative shocks	-0.0217	-3.16***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.32
λ₂ forecast adj. Forecast performance sensitivity	0.7433	0.80
λ₃ tau persistence Long-term factor persistence	0.1263	0.09

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