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	1.4406	9.58***
α ARCH Response to squared shocks	0.1869	7.79***
β GARCH Volatility persistence	0.5573	11.43***

γ₁	-0.0911	-1.44
γ₂	0.0821	0.75
γ₃	0.1087	1.23
γ₄	-0.1757	-2.39**
γ₅	0.0566	0.90
γ₆	0.1378	2.17**
γ₇	-0.1525	-2.22**
γ₈	-0.0770	-0.95
γ₉	0.2165	2.46**
γ₁₀	-0.1352	-2.07**

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Megachips Corp Zero Slope Spline-GARCH Volatility Analysis

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News Impact Curve

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Parameter Estimates

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