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	0.2635	10.14***
α ARCH Response to squared shocks	0.0920	18.63***
β GARCH Volatility persistence	0.7874	81.47***
γ leverage Additional response to negative shocks	1.1491	11.37***

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Unipol Assicurazioni SpA AGARCH Volatility Analysis

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