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	0.0566	14.51***
α ARCH Response to squared shocks	0.0968	36.88***
β GARCH Volatility persistence	0.9032	323.86***
γ leverage Additional response to negative shocks	0.3267	18.78***
δ power Transformation power	1.2794	29.25***

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