EURO STOXX 50 Volatility Index

CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1120	9.10***
β GARCH Volatility persistence	0.2662	6.10***
γ leverage Additional response to negative shocks	0.0794	5.45***
λ₁ tau intercept Baseline long-term coefficient	3.5285	0.61
λ₂ forecast adj. Forecast performance sensitivity	0.6955	0.79
λ₃ tau persistence Long-term factor persistence	0.2409	0.23

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