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	1.6493	2.88***
α ARCH Response to squared shocks	0.1789	5.87***
β GARCH Volatility persistence	0.6327	11.58***

γ₁	0.9722	2.12**
γ₂	-1.6026	-2.64***
γ₃	0.9990	3.56***
γ₄	-0.6967	-2.32**
γ₅	0.6029	1.78*
γ₆	-0.1876	-0.64
γ₇	-0.2492	-1.07
γ₈	0.1714	0.40
γ₉	0.2459	0.43
γ₁₀	-0.4963	-0.90

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Makoto Construction Co Ltd Spline-GARCH Volatility Analysis

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News Impact Curve

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