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
m window Rolling window length	126
α ARCH Response to squared shocks	0.2764	30.57***
β GARCH Volatility persistence	0.6230	50.07***
γ leverage Additional response to negative shocks	-0.2394	-24.90***
λ₁ tau intercept Baseline long-term coefficient	0.0131	0.39
λ₂ forecast adj. Forecast performance sensitivity	0.0042	2.10**
λ₃ tau persistence Long-term factor persistence	0.9958	408.44***

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iTraxx/CBOE Europe Main 1-Month Volatility Index (BP Volatility) MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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