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	0.0642	18.41***
α ARCH Response to squared shocks	0.2053	38.71***
β GARCH Volatility persistence	0.9662	521.70***
γ leverage Additional response to negative shocks	-0.0464	-9.54***

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