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	0.1587	27.85***
α ARCH Response to squared shocks	0.2055	39.85***
β GARCH Volatility persistence	0.7557	239.30***
γ leverage Additional response to negative shocks	0.0321	3.66***

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Shimizu Corp Asy. MEM Volatility Analysis

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