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	0.0502	21.89***
α ARCH Response to squared shocks	0.1132	32.57***
β GARCH Volatility persistence	0.8668	232.44***
γ leverage Additional response to negative shocks	0.3784	25.88***
δ power Transformation power	1.3313	31.13***

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