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	5.7640	5.14***
α ARCH Response to squared shocks	0.0663	33.46***
β GARCH Volatility persistence	0.9889	464.93***
ν DF Student-t tail thickness	5.2691	8.88***

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Taisei Corp GAS-GARCH Student T Volatility Analysis

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