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	3.6852	5.94***
α ARCH Response to squared shocks	0.1404	14.79***
β GARCH Volatility persistence	0.7927	66.90***
γ leverage Additional response to negative shocks	0.8104	2.92***

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