S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.1253	0.17
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	-0.1253	-0.18
λ₁ tau intercept Baseline long-term coefficient	7.7233	0.03
λ₂ forecast adj. Forecast performance sensitivity	0.9339	0.17
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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