CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0316	16.35***
α ARCH Response to squared shocks	0.0918	33.17***
β GARCH Volatility persistence	0.8875	293.31***
γ leverage Additional response to negative shocks	0.2586	11.88***

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