S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7044	7.03***
α ARCH Response to squared shocks	0.0658	19.10***
β GARCH Volatility persistence	0.9268	237.64***
γ leverage Additional response to negative shocks	1.1476	3.31***

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