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	0.0654	14.72***
α ARCH Response to squared shocks	0.1822	17.96***
β GARCH Volatility persistence	0.9759	450.13***
γ leverage Additional response to negative shocks	-0.0004	-0.04

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Makoto Construction Co Ltd EGARCH Volatility Analysis

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