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	21
α ARCH Response to squared shocks	0.0935	16.60***
β GARCH Volatility persistence	0.6777	49.99***
γ leverage Additional response to negative shocks	0.0478	6.39***
λ₁ tau intercept Baseline long-term coefficient	0.0158	1.97**
λ₂ forecast adj. Forecast performance sensitivity	0.0182	3.76***
λ₃ tau persistence Long-term factor persistence	0.9782	153.32***

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