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	0.0205	9.68***
α ARCH Response to squared shocks	0.0219	5.35***
β GARCH Volatility persistence	0.9666	287.76***
γ leverage Additional response to negative shocks	0.4672	5.30***
δ power Transformation power	1.9559	19.21***

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