HSI Volatility Index

CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5007	10.51***
α ARCH Response to squared shocks	0.1194	15.79***
β GARCH Volatility persistence	0.8813	140.49***
γ leverage Additional response to negative shocks	-0.1139	-11.70***

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