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	0.0658	18.05***
α ARCH Response to squared shocks	0.2249	74.43***
β GARCH Volatility persistence	0.7593	224.58***
γ leverage Additional response to negative shocks	0.0264	4.24***
δ power Transformation power	0.7818	16.51***

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