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	2.1696	3.50***
α ARCH Response to squared shocks	0.0394	8.34***
β GARCH Volatility persistence	0.9762	157.78***
ν DF Student-t tail thickness	3.8869	3.59***

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Loreal Sa GAS-GARCH Student T Volatility Analysis

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