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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8696	4.96***
α ARCH Response to squared shocks	0.2057	7.06***
β GARCH Volatility persistence	0.6617	15.67***

γ₁	0.1727	0.72
γ₂	-0.1372	-0.39
γ₃	-0.1365	-0.69
γ₄	0.1452	0.78
γ₅	0.1350	0.59
γ₆	-0.4755	-1.96*
γ₇	0.5778	2.46**
γ₈	-0.7478	-2.72***
γ₉	0.9216	3.44***
γ₁₀	-0.6084	-3.81***

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