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	1.1266	3.68***
α ARCH Response to squared shocks	0.2045	5.27***
β GARCH Volatility persistence	0.7005	15.25***

γ₁	-0.1933	-3.48***
γ₂	0.2821	3.36***
γ₃	-0.0794	-1.08
γ₄	-0.0954	-1.19
γ₅	0.1762	2.05**
γ₆	-0.1860	-2.31**
γ₇	0.2273	3.33***
γ₈	-0.1959	-4.14***

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Onex Corp (Japan) Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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