CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0079	12.10***
α ARCH Response to squared shocks	0.0569	21.23***
β GARCH Volatility persistence	0.9528	629.30***
γ leverage Additional response to negative shocks	-0.0193	-6.19***

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UOB-Kay Hian Holdings Ltd GJR-GARCH Volatility Analysis

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