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	0.0437	22.79***
α ARCH Response to squared shocks	0.0316	10.94***
β GARCH Volatility persistence	0.8811	421.20***
γ leverage Additional response to negative shocks	0.1258	20.84***

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IBEX 35 Index GJR-GARCH Volatility Analysis

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