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	0.4554	3.55***
α ARCH Response to squared shocks	0.0810	3.91***
β GARCH Volatility persistence	0.8403	21.86***

γ₁	-0.3996	-1.17
γ₂	0.3038	0.63
γ₃	0.4567	1.97**
γ₄	-0.6523	-4.01***
γ₅	0.4822	3.06***
γ₆	-0.3005	-2.26**

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Sivers Semiconductors Ab Zero Slope Spline-GARCH Volatility Analysis

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