Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

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{type} for {date}

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	param	t-stat
$ω$	1.3333	2.30
$α$	0.1689	3.90
$β$	0.7889	13.84
$γ_{1}$	-0.3687	-0.68
$γ_{2}$	0.6956	0.94
$γ_{3}$	-0.3957	-1.23
$γ_{4}$	-0.1498	-0.55
$γ_{5}$	0.7803	2.12
$γ_{6}$	-1.5591	-2.99

V-Lab

GMO Tech Inc Spline-GARCH Volatility Analysis

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Date Range:

Parameter Estimates

News Impact Curve

Volatility Forecasts

Other GMO Tech Inc Analyses