CBOE EFA ETF Volatility Index

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Param	Value	t-stat
mwindow	116
αARCH	0.3812	4.05***
βGARCH	0.2204	2.75***
γleverage	-0.1942	-1.86*
λ₁tau intercept	3.3948	1.07
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	116
α ARCH Response to squared shocks	0.3812	4.05***
β GARCH Volatility persistence	0.2204	2.75***
γ leverage Additional response to negative shocks	-0.1942	-1.86*
λ₁ tau intercept Baseline long-term coefficient	3.3948	1.07
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Inmocemento S A MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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