Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0752	16.67***
β GARCH Volatility persistence	0.6310	47.47***
γ leverage Additional response to negative shocks	0.1533	17.56***
λ₁ tau intercept Baseline long-term coefficient	0.0237	2.78***
λ₂ forecast adj. Forecast performance sensitivity	0.0312	4.51***
λ₃ tau persistence Long-term factor persistence	0.9638	121.44***

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Nitta Corp MF2-GARCH Volatility Analysis

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