Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9119	7.26***
α ARCH Response to squared shocks	0.0955	5.78***
β GARCH Volatility persistence	0.8754	43.80***

γ₁	-0.0290	-2.52**
γ₂	0.0560	2.95***
γ₃	-0.0670	-2.81***

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Inpex Corp Spline-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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