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	1.1356	5.97***
α ARCH Response to squared shocks	0.0442	3.50***
β GARCH Volatility persistence	0.8785	20.79***

γ₁	0.2591	0.67
γ₂	0.0022	0.00
γ₃	-0.8684	-2.10**
γ₄	1.2129	3.25***
γ₅	-0.6802	-1.39
γ₆	-0.3871	-0.64
γ₇	0.7867	1.95*
γ₈	0.0217	0.06
γ₉	-1.0321	-2.17**
γ₁₀	0.9917	2.99***

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GCM Corp Ltd Zero Slope Spline-GARCH Volatility Analysis

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