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	5.3757	10.26***
α ARCH Response to squared shocks	0.1570	27.62***
β GARCH Volatility persistence	0.9049	100.19***
ν DF Student-t tail thickness	3.1168	21.65***

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VIEL & Cie SA GAS-GARCH Student T Volatility Analysis

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