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	0.3052	20.61***
α ARCH Response to squared shocks	0.0934	34.96***
β GARCH Volatility persistence	0.8775	282.25***
γ leverage Additional response to negative shocks	0.2130	2.32**

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