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	1.2204	8.10***
α ARCH Response to squared shocks	0.1306	9.01***
β GARCH Volatility persistence	0.7721	34.79***

γ₁	0.0452	1.76*
γ₂	-0.0139	-0.36
γ₃	-0.1113	-4.14***
γ₄	0.1522	5.67***
γ₅	-0.1330	-4.67***
γ₆	0.1116	3.67***
γ₇	-0.0812	-2.13**
γ₈	0.1051	1.67*

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Taisei Corp Spline-GARCH Volatility Analysis

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