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	0.8088	8.69***
α ARCH Response to squared shocks	0.0965	13.65***
β GARCH Volatility persistence	0.8714	122.82***
γ leverage Additional response to negative shocks	-0.2921	-0.90

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Sivers Semiconductors Ab AGARCH Volatility Analysis

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