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	1.0777	7.28***
α ARCH Response to squared shocks	0.1426	9.36***
β GARCH Volatility persistence	0.7594	37.17***

γ₁	-0.0221	-0.65
γ₂	0.0995	2.06**
γ₃	-0.1854	-6.54***
γ₄	0.1925	6.94***
γ₅	-0.1421	-4.70***
γ₆	0.0863	2.82***
γ₇	-0.0414	-1.19
γ₈	0.0367	0.71
γ₉	-0.0259	-0.26

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Obayashi Corp Spline-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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