CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.1908	27.96***
β GARCH Volatility persistence	0.5320	43.88***
γ leverage Additional response to negative shocks	0.0305	2.84***
λ₁ tau intercept Baseline long-term coefficient	0.0463	2.85***
λ₂ forecast adj. Forecast performance sensitivity	0.0206	4.45***
λ₃ tau persistence Long-term factor persistence	0.9679	125.11***

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VIEL & Cie SA MF2-GARCH Volatility Analysis

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