CBOE EFA ETF Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8630	8.51***
α ARCH Response to squared shocks	0.0765	34.88***
β GARCH Volatility persistence	0.9891	757.37***
ν DF Student-t tail thickness	8.7875	5.45***

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OMX Stockholm 30 Index GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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