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	1.4438	9.69***
α ARCH Response to squared shocks	0.1853	7.70***
β GARCH Volatility persistence	0.5557	11.27***

γ₁	-0.0954	-1.52
γ₂	0.0865	0.80
γ₃	0.1134	1.29
γ₄	-0.1859	-2.53**
γ₅	0.0643	1.02
γ₆	0.1375	2.17**
γ₇	-0.1603	-2.31**
γ₈	-0.0572	-0.67
γ₉	0.1692	1.63
γ₁₀	-0.0033	-0.02

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Megachips Corp Spline-GARCH Volatility Analysis

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