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	2.4582	4.85***
α ARCH Response to squared shocks	0.1126	6.14***
β GARCH Volatility persistence	0.8527	65.77***
γ leverage Additional response to negative shocks	-0.0176	-0.78

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