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	0.4232	18.91***
α ARCH Response to squared shocks	0.2429	20.16***
β GARCH Volatility persistence	0.6654	78.04***
γ leverage Additional response to negative shocks	0.0624	3.08***

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Sats As Asy. MEM Volatility Analysis

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