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	0.0170	13.82***
α ARCH Response to squared shocks	0.1776	32.34***
β GARCH Volatility persistence	0.9743	767.16***
γ leverage Additional response to negative shocks	-0.0406	-9.27***

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