FTSE 100 Implied Volatility Index 30 Days

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	1.2709	6.93***
α ARCH Response to squared shocks	0.1152	9.91***
β GARCH Volatility persistence	0.8466	61.11***

γ₁	0.0139	0.54
γ₂	0.0494	1.19
γ₃	-0.1544	-5.26***
γ₄	0.1830	7.35***
γ₅	-0.1740	-6.99***
γ₆	0.1172	4.32***
γ₇	-0.0198	-0.76
γ₈	-0.0297	-1.69*

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MSCI World Zero Slope Spline-GARCH Volatility Analysis

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