Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1279	23.79***
α ARCH Response to squared shocks	0.1996	41.07***
β GARCH Volatility persistence	0.7771	264.15***
γ leverage Additional response to negative shocks	0.0108	1.30

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