DAX Volatility Index

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	5.0000	22.80***
α ARCH Response to squared shocks	0.2127	15.80***
β GARCH Volatility persistence	0.7546	93.11***
γ leverage Additional response to negative shocks	-0.1832	-12.32***

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iTraxx/CBOE Europe Main 1-Month Volatility Index (BP Volatility) GJR-GARCH Volatility Analysis

Date Range:

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