CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	6.4695	6.93***
α ARCH Response to squared shocks	0.0831	118.08***
β GARCH Volatility persistence	0.9968	2,379.06***
ν DF Student-t tail thickness	3.4888	88.40***

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UOB-Kay Hian Holdings Ltd GAS-GARCH Student T Volatility Analysis

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