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	0.1055	15.03***
α ARCH Response to squared shocks	0.1800	19.08***
β GARCH Volatility persistence	0.9717	438.70***
γ leverage Additional response to negative shocks	0.0141	1.16

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Sivers Semiconductors Ab EGARCH Volatility Analysis

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