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	0.1131	17.39***
α ARCH Response to squared shocks	0.0537	20.05***
β GARCH Volatility persistence	0.8866	279.05***
γ leverage Additional response to negative shocks	0.0839	11.09***

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