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	1.6973	6.55***
α ARCH Response to squared shocks	0.0641	34.35***
β GARCH Volatility persistence	0.9891	557.26***
ν DF Student-t tail thickness	6.6727	6.15***

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Luxembourg Stock Exchange LuxX Index GAS-GARCH Student T Volatility Analysis

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