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	0.0598	14.32***
α ARCH Response to squared shocks	0.1465	29.11***
β GARCH Volatility persistence	0.9781	638.46***
γ leverage Additional response to negative shocks	-0.0218	-4.80***

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Megachips Corp EGARCH Volatility Analysis

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