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	0.8733	3.96***
α ARCH Response to squared shocks	0.0892	2.42**
β GARCH Volatility persistence	0.7873	12.68***

γ₁	-0.6128	-1.45
γ₂	1.1674	1.90*
γ₃	-1.2257	-2.98***
γ₄	1.0668	2.76***
γ₅	-0.4326	-1.59

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Sats As Zero Slope Spline-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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