DAX Volatility Index

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.1910	39.73***
β GARCH Volatility persistence	0.7197	67.86***
γ leverage Additional response to negative shocks	-0.1910	-22.56***
λ₁ tau intercept Baseline long-term coefficient	0.3822	1.48
λ₂ forecast adj. Forecast performance sensitivity	0.0209	2.10**
λ₃ tau persistence Long-term factor persistence	0.9692	60.55***

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EURO STOXX 50 Volatility Index MF2-GARCH Volatility Analysis

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