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	1.6356	2.88***
α ARCH Response to squared shocks	0.1779	5.82***
β GARCH Volatility persistence	0.6338	11.60***

γ₁	0.9416	2.07**
γ₂	-1.5477	-2.58***
γ₃	0.9538	3.41***
γ₄	-0.6587	-2.19**
γ₅	0.5749	1.69*
γ₆	-0.1706	-0.58
γ₇	-0.2588	-1.11
γ₈	0.1787	0.42
γ₉	0.2368	0.43
γ₁₀	-0.4745	-1.28

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Makoto Construction Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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