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	1.2762	9.17***
α ARCH Response to squared shocks	0.1303	7.99***
β GARCH Volatility persistence	0.7708	31.77***

γ₁	0.0525	4.95***
γ₂	-0.0881	-5.33***
γ₃	0.0518	4.56***
γ₄	-0.0253	-2.50**
γ₅	0.0173	1.36
γ₆	0.0078	0.35

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Shimizu Corp Spline-GARCH Volatility Analysis

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