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	1.2438	19.82***
α ARCH Response to squared shocks	0.2060	30.75***
β GARCH Volatility persistence	0.6523	73.96***
γ leverage Additional response to negative shocks	0.1001	1.26

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