S&P / ASX 200 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	91
α ARCH Response to squared shocks	0.1598	1.71*
β GARCH Volatility persistence	0.7385	62.65***
γ leverage Additional response to negative shocks	-0.0195	-0.12
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.21
λ₂ forecast adj. Forecast performance sensitivity	0.3492	0.32
λ₃ tau persistence Long-term factor persistence	0.5381	0.60

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