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	1.1399	5.99***
α ARCH Response to squared shocks	0.0443	3.50***
β GARCH Volatility persistence	0.8786	20.90***

γ₁	0.2631	0.68
γ₂	0.0020	0.00
γ₃	-0.8810	-2.13**
γ₄	1.2314	3.30***
γ₅	-0.6974	-1.42
γ₆	-0.3720	-0.62
γ₇	0.7635	1.89*
γ₈	0.0734	0.19
γ₉	-1.1499	-2.41**
γ₁₀	1.2914	2.78***

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GCM Corp Ltd Spline-GARCH Volatility Analysis

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