CBOE EFA ETF Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0664	26.62***
α ARCH Response to squared shocks	0.1367	20.62***
β GARCH Volatility persistence	0.8189	258.26***
γ leverage Additional response to negative shocks	0.0495	3.90***

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Tivoli A/S GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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