CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0210	7.47***
α ARCH Response to squared shocks	0.0065	1.93*
β GARCH Volatility persistence	0.9660	269.77***
γ leverage Additional response to negative shocks	0.0393	5.82***

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Sofina SA GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sofina SA Analyses