EURO STOXX 50 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	0.8088	3.69***
α ARCH Response to squared shocks	0.0786	8.10***
β GARCH Volatility persistence	0.8967	65.69***

γ₁	0.0989	0.81
γ₂	-0.3309	-1.85*
γ₃	0.5257	5.10***
γ₄	-0.4813	-5.01***
γ₅	0.2635	1.96**
γ₆	-0.1370	-1.02
γ₇	0.0923	0.86
γ₈	-0.0602	-0.69
γ₉	0.0588	0.80

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Petrolia Se Zero Slope Spline-GARCH Volatility Analysis

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