Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.1031	20.41***
β GARCH Volatility persistence	0.5362	32.36***
γ leverage Additional response to negative shocks	0.1318	13.44***
λ₁ tau intercept Baseline long-term coefficient	0.1906	1.24
λ₂ forecast adj. Forecast performance sensitivity	0.1606	1.45
λ₃ tau persistence Long-term factor persistence	0.8024	5.72***

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