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	0.0712	26.62***
α ARCH Response to squared shocks	0.1697	51.05***
β GARCH Volatility persistence	0.8087	270.00***
γ leverage Additional response to negative shocks	0.0833	3.13***

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Tivoli A/S AGARCH Volatility Analysis

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