CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0599	16.85***
α ARCH Response to squared shocks	0.1492	25.74***
β GARCH Volatility persistence	0.7489	253.88***
γ leverage Additional response to negative shocks	0.1318	15.84***

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IBEX 35 Index Asy. MEM Volatility Analysis

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