S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.6037	14.79***
α ARCH Response to squared shocks	0.0087	1.22
β GARCH Volatility persistence	0.1540	3.31***
γ leverage Additional response to negative shocks	0.3979	2.58***

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