Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	5.4518	5.09***
α ARCH Response to squared shocks	0.0712	32.92***
β GARCH Volatility persistence	0.9852	333.73***
ν DF Student-t tail thickness	4.2166	12.19***

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Nitta Corp GAS-GARCH Student T Volatility Analysis

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