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	5.0000	2.15**
α ARCH Response to squared shocks	0.1352	2.28**
β GARCH Volatility persistence	0.8117	25.35***
γ leverage Additional response to negative shocks	-0.0449	-0.45

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