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	13.6585	3.36***
α ARCH Response to squared shocks	0.1704	30.89***
β GARCH Volatility persistence	0.9580	76.17***
ν DF Student-t tail thickness	2.5096	42.93***

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Makoto Construction Co Ltd GAS-GARCH Student T Volatility Analysis

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