HSI 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	0.0417	19.95***
α ARCH Response to squared shocks	0.0412	13.24***
β GARCH Volatility persistence	0.9030	387.39***
γ leverage Additional response to negative shocks	0.0757	14.04***

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