CBOE EFA ETF Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5818	27.20***
α ARCH Response to squared shocks	0.1876	21.07***
β GARCH Volatility persistence	0.6678	87.92***
γ leverage Additional response to negative shocks	0.0405	2.49**

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VIEL & Cie SA GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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