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	0.1162	9.82***
α ARCH Response to squared shocks	0.0867	14.59***
β GARCH Volatility persistence	0.8972	151.98***
γ leverage Additional response to negative shocks	0.0255	0.99
δ power Transformation power	2.0223	28.19***

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Makoto Construction Co Ltd APARCH Volatility Analysis

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