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	0.0771	4.50***
α ARCH Response to squared shocks	0.0130	0.03
β GARCH Volatility persistence	0.9557	113.04***
γ leverage Additional response to negative shocks	1.0000	0.02
δ power Transformation power	1.4502	8.99***

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Universal Music Group N V APARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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