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	0.0180	8.10***
α ARCH Response to squared shocks	0.2037	36.41***
β GARCH Volatility persistence	0.9619	472.92***
γ leverage Additional response to negative shocks	-0.0733	-20.64***

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Oslo Stock Exchange All Share Index EGARCH Volatility Analysis

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