FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2547	6.94***
α ARCH Response to squared shocks	0.1154	9.81***
β GARCH Volatility persistence	0.8452	59.75***

γ₁	0.0110	0.43
γ₂	0.0551	1.35
γ₃	-0.1604	-5.54***
γ₄	0.1885	7.68***
γ₅	-0.1769	-7.17***
γ₆	0.1144	4.19***
γ₇	-0.0030	-0.10
γ₈	-0.0842	-1.58

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MSCI World Spline-GARCH Volatility Analysis

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