CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6151	29.57***
α ARCH Response to squared shocks	0.2165	41.33***
β GARCH Volatility persistence	0.6520	87.77***
γ leverage Additional response to negative shocks	-0.0418	-1.07

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VIEL & Cie SA AGARCH Volatility Analysis

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