Nikkei Stock Average Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2735	8.81***
α ARCH Response to squared shocks	0.2008	25.10***
β GARCH Volatility persistence	0.7587	74.51***
γ leverage Additional response to negative shocks	-0.0162	-0.80
δ power Transformation power	1.3016	18.22***

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Makoto Construction Co Ltd Asy. Power MEM Volatility Analysis

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