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	0.1144	12.15***
α ARCH Response to squared shocks	0.0830	10.58***
β GARCH Volatility persistence	0.8975	151.20***
γ leverage Additional response to negative shocks	0.0086	0.81

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Makoto Construction Co Ltd GJR-GARCH Volatility Analysis

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