CBOE Emerging Market Markets Volatility Index

EURO STOXX 50 Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	5.4643	6.92***
α ARCH Response to squared shocks	0.1484	25.32***
β GARCH Volatility persistence	0.9333	96.82***
ν DF Student-t tail thickness	3.0400	21.22***

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Wawel Sa GAS-GARCH Student T Volatility Analysis

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News Impact Curve

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