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	0.0136	8.36***
α ARCH Response to squared shocks	0.1533	44.29***
β GARCH Volatility persistence	0.9793	1,019.06***
γ leverage Additional response to negative shocks	-0.0847	-25.53***

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OMX Stockholm 30 Index EGARCH Volatility Analysis

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