CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.1044	11.69***
β GARCH Volatility persistence	0.8469	57.45***
γ leverage Additional response to negative shocks	-0.0361	-2.40**
λ₁ tau intercept Baseline long-term coefficient	0.2153	1.54
λ₂ forecast adj. Forecast performance sensitivity	0.0348	2.19**
λ₃ tau persistence Long-term factor persistence	0.9584	42.00***

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Sivers Semiconductors Ab MF2-GARCH Volatility Analysis

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