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	0.0884	14.73***
α ARCH Response to squared shocks	0.0593	28.34***
β GARCH Volatility persistence	0.9165	313.32***
γ leverage Additional response to negative shocks	-0.2282	-2.96***

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Ilkka Oyj AGARCH Volatility Analysis

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