HSI Volatility Index

CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1350	25.58***
β GARCH Volatility persistence	0.8688	90.35***
γ leverage Additional response to negative shocks	-0.1326	-9.31***
λ₁ tau intercept Baseline long-term coefficient	3.1853	0.36
λ₂ forecast adj. Forecast performance sensitivity	0.0210	0.35
λ₃ tau persistence Long-term factor persistence	0.8603	2.18**

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