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	0.2741	9.79***
α ARCH Response to squared shocks	0.0373	8.86***
β GARCH Volatility persistence	0.8821	108.94***
γ leverage Additional response to negative shocks	0.0776	4.02***

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Sats As GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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