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	0.9563	8.52***
α ARCH Response to squared shocks	0.2050	5.10***
β GARCH Volatility persistence	0.5792	9.11***

γ₁	-0.1982	-2.34**
γ₂	0.1247	0.85
γ₃	0.3899	3.21***
γ₄	-0.6436	-5.21***
γ₅	0.4839	3.40***
γ₆	-0.2483	-1.65*
γ₇	0.1656	1.08
γ₈	-0.1019	-0.75
γ₉	0.0466	0.46

V-Lab

Kudo Corp Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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