S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4606	17.87***
α ARCH Response to squared shocks	0.1250	31.19***
β GARCH Volatility persistence	0.8082	121.82***
γ leverage Additional response to negative shocks	0.1098	1.34

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