Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0824	11.70***
α ARCH Response to squared shocks	0.0921	30.83***
β GARCH Volatility persistence	0.8778	301.34***
γ leverage Additional response to negative shocks	0.9863	19.16***

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Denka Co Ltd AGARCH Volatility Analysis

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