Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4775	6.18***
α ARCH Response to squared shocks	0.1167	7.52***
β GARCH Volatility persistence	0.7911	30.94***

γ₁	0.0355	0.98
γ₂	-0.0132	-0.25
γ₃	-0.0941	-2.61***
γ₄	0.1621	4.41***
γ₅	-0.1684	-4.16***
γ₆	0.1517	3.81***
γ₇	-0.1367	-3.25***
γ₈	0.0901	1.91*
γ₉	-0.0269	-0.78

V-Lab

Nissui Corp Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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