Nikkei Stock Average Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2681	8.87***
α ARCH Response to squared shocks	0.1302	8.06***
β GARCH Volatility persistence	0.7777	33.15***

γ₁	0.0507	4.66***
γ₂	-0.0855	-5.05***
γ₃	0.0515	4.43***
γ₄	-0.0282	-2.80***
γ₅	0.0268	2.44**
γ₆	-0.0219	-2.38**

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