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	0.0328	21.32***
α ARCH Response to squared shocks	0.0941	32.56***
β GARCH Volatility persistence	0.8984	291.03***
γ leverage Additional response to negative shocks	0.2072	12.24***
δ power Transformation power	1.4661	30.66***

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