Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1073	20.28***
β GARCH Volatility persistence	0.6205	59.13***
γ leverage Additional response to negative shocks	0.1346	15.21***
λ₁ tau intercept Baseline long-term coefficient	0.0181	3.31***
λ₂ forecast adj. Forecast performance sensitivity	0.0314	6.63***
λ₃ tau persistence Long-term factor persistence	0.9657	183.97***

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Nissan Motor Co Ltd MF2-GARCH Volatility Analysis

Date Range:

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