CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.0299	8.45***
β GARCH Volatility persistence	0.8121	174.49***
γ leverage Additional response to negative shocks	0.1506	31.50***
λ₁ tau intercept Baseline long-term coefficient	0.0023	1.97**
λ₂ forecast adj. Forecast performance sensitivity	0.0135	4.24***
λ₃ tau persistence Long-term factor persistence	0.9848	233.75***

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Oslo Stock Exchange All Share Index MF2-GARCH Volatility Analysis

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