Confidence level

Historical volatility

Implied volatility

EGARCH

AR (2)

90%

392 (66%)

406 (68%)

116 (19%)

266 (45%)

95%

357 (60%)

364 (61%)

76 (13%)

217 (36%)

99%

296 (50%)

284 (48%)

33 (6%)

142 (24%)

Average coefficient

0.476

0.080

0.006

−0.036