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	0.5787	27.16***
α ARCH Response to squared shocks	0.1874	21.09***
β GARCH Volatility persistence	0.6684	88.18***
γ leverage Additional response to negative shocks	0.0408	2.51**

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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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