Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

{name} Model Equation

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.3129	619.55***
β GARCH Volatility persistence	0.1950	167.70***
γ leverage Additional response to negative shocks	0.5000	536.48***
λ₁ tau intercept Baseline long-term coefficient	83.5776

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