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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8707	4.95***
α ARCH Response to squared shocks	0.2055	7.12***
β GARCH Volatility persistence	0.6629	15.96***

γ₁	0.1725	0.73
γ₂	-0.1413	-0.41
γ₃	-0.1308	-0.66
γ₄	0.1533	0.83
γ₅	0.1062	0.46
γ₆	-0.4337	-1.77*
γ₇	0.5240	2.25**
γ₈	-0.6775	-2.53**
γ₉	0.8541	3.16***
γ₁₀	-0.5701	-3.47***

V-Lab

CBOE EFA ETF Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE EFA ETF Volatility Index Analyses