CBOE Emerging Market Markets Volatility Index

EURO STOXX 50 Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8190	212.01***
γ leverage Additional response to negative shocks	0.2278	40.89***
λ₁ tau intercept Baseline long-term coefficient	0.0078	6.06***
λ₂ forecast adj. Forecast performance sensitivity	0.0608	6.29***
λ₃ tau persistence Long-term factor persistence	0.9322	87.68***

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