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	0.1437	15.98***
α ARCH Response to squared shocks	0.1073	42.51***
β GARCH Volatility persistence	0.8647	266.88***
γ leverage Additional response to negative shocks	0.5421	12.39***

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