S&P / ASX 200 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	0.7247	4.94***
α ARCH Response to squared shocks	0.2221	22.83***
β GARCH Volatility persistence	0.7668	79.95***
γ leverage Additional response to negative shocks	-0.0092	-0.50
δ power Transformation power	1.4774	12.59***

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