FTSE 100 Implied Volatility Index 30 Days

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	0.5598	4.50***
α ARCH Response to squared shocks	0.1764	7.21***
β GARCH Volatility persistence	0.7724	21.19***
γ leverage Additional response to negative shocks	-0.0101	-0.21

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Princes Group PLC Asy. MEM Volatility Analysis

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