CBOE EFA ETF Volatility Index

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	param	t-stat
$ω$	0.7386	7.35
$α$	0.0723	5.21
$β$	0.8537	29.01
$γ_{1}$	-0.0387	-2.57
$γ_{2}$	0.0882	3.81
$γ_{3}$	-0.0795	-4.16
$γ_{4}$	0.0319	2.11

V-Lab

SES SA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other SES SA Analyses