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	0.1934	15.46***
α ARCH Response to squared shocks	0.1193	21.41***
β GARCH Volatility persistence	0.8521	159.93***
γ leverage Additional response to negative shocks	0.3168	3.42***

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Makoto Construction Co Ltd AGARCH Volatility Analysis

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