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	0.1240	12.47***
α ARCH Response to squared shocks	0.0730	32.14***
β GARCH Volatility persistence	0.8949	277.66***
γ leverage Additional response to negative shocks	0.7256	12.63***

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Casio Computer Co Ltd AGARCH Volatility Analysis

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