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	1.0919	4.50***
α ARCH Response to squared shocks	0.2142	9.85***
β GARCH Volatility persistence	0.5823	15.61***

γ₁	-0.0686	-1.51
γ₂	0.1431	2.20**
γ₃	-0.1498	-3.70***
γ₄	0.1362	4.09***
γ₅	-0.0973	-3.28***
γ₆	0.0612	2.05**
γ₇	-0.0672	-2.37**
γ₈	0.0891	3.24***
γ₉	-0.0630	-2.90***

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VIEL & Cie SA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other VIEL & Cie SA Analyses