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	0.4790	14.01***
α ARCH Response to squared shocks	0.1772	14.31***
β GARCH Volatility persistence	0.7398	82.23***
γ leverage Additional response to negative shocks	0.0388	1.86*

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Makoto Construction Co Ltd Asy. MEM Volatility Analysis

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News Impact Curve

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