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	0.1454	8.77***
α ARCH Response to squared shocks	0.1061	15.76***
β GARCH Volatility persistence	0.8939	143.02***
γ leverage Additional response to negative shocks	-0.1219	-1.91*
δ power Transformation power	0.9620	9.62***

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Sivers Semiconductors Ab APARCH Volatility Analysis

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