Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.2339	17.84***
β GARCH Volatility persistence	0.6418	47.75***
γ leverage Additional response to negative shocks	0.0033	0.17
λ₁ tau intercept Baseline long-term coefficient	0.0165	3.28***
λ₂ forecast adj. Forecast performance sensitivity	0.0108	7.40***
λ₃ tau persistence Long-term factor persistence	0.9880	533.75***

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Onex Corp (Japan) MF2-GARCH Volatility Analysis

Date Range:

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