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	0.0452	33.11***
α ARCH Response to squared shocks	0.1163	24.70***
β GARCH Volatility persistence	0.7815	230.86***
γ leverage Additional response to negative shocks	0.1412	18.21***

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Oslo Stock Exchange All Share Index Asy. MEM Volatility Analysis

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