CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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	param	t-stat
$ω$	0.3790	5.04
$α$	0.1000	2.72
$β$	0.5634	3.70
$γ_{1}$	-2.3919	-3.01
$γ_{2}$	4.4246	3.58
$γ_{3}$	-4.3383	-4.21
$γ_{4}$	4.3075	4.33
$γ_{5}$	-2.9818	-3.11
$γ_{6}$	0.2935	0.28
$γ_{7}$	1.5565	1.44
$γ_{8}$	-0.9436	-1.02
$γ_{9}$	-0.0247	-0.04

V-Lab

Sofina SA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sofina SA Analyses