Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

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	param	t-stat
$m$	21
$α$	0.0102	3.75
$β$	0.7932	137.99
$γ$	0.1868	33.31
$λ_{1}$	0.0281	5.00
$λ_{2}$	0.0567	5.55
$λ_{3}$	0.9296	75.53

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Nikkei 225 MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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