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	0.5198	6.19***
α ARCH Response to squared shocks	0.2207	15.90***
β GARCH Volatility persistence	0.8717	41.12***
γ leverage Additional response to negative shocks	0.0407	2.41**

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