CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5636	5.27***
α ARCH Response to squared shocks	0.1880	8.34***
β GARCH Volatility persistence	0.6369	16.72***

γ₁	-0.0395	-0.65
γ₂	0.1312	1.45
γ₃	-0.2483	-4.22***
γ₄	0.3073	5.51***
γ₅	-0.2119	-3.97***
γ₆	-0.0089	-0.19
γ₇	0.1956	3.90***
γ₈	-0.1700	-3.21***
γ₉	0.0714	1.14
γ₁₀	-0.0542	-1.03

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UOB-Kay Hian Holdings Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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