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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8712	4.98***
α ARCH Response to squared shocks	0.2057	7.08***
β GARCH Volatility persistence	0.6614	15.69***

γ₁	0.1748	0.74
γ₂	-0.1422	-0.41
γ₃	-0.1323	-0.67
γ₄	0.1464	0.79
γ₅	0.1265	0.55
γ₆	-0.4630	-1.90*
γ₇	0.5622	2.41**
γ₈	-0.7277	-2.67***
γ₉	0.9050	3.38***
γ₁₀	-0.6011	-3.77***

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