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	0.0219	6.01***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9608	387.28***
γ leverage Additional response to negative shocks	0.0615	10.41***

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Loreal Sa GJR-GARCH Volatility Analysis

Date Range:

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