Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

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{type} for {date}

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	param	t-stat
$ω$	1.9159	4.76
$α$	0.1936	7.86
$β$	0.6542	18.08
$γ_{1}$	0.2113	2.17
$γ_{2}$	-0.3158	-2.26
$γ_{3}$	0.2588	2.64
$γ_{4}$	-0.2878	-3.22
$γ_{5}$	0.2049	2.04
$γ_{6}$	-0.0813	-0.75
$γ_{7}$	-0.0581	-0.55
$γ_{8}$	0.1927	1.66
$γ_{9}$	-0.2614	-1.60
$γ_{10}$	-0.0656	-0.26

V-Lab

Tanaka Chemical Spline-GARCH Volatility Analysis

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Date Range:

Parameter Estimates

News Impact Curve

Volatility Forecasts

Other Tanaka Chemical Analyses