Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

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{type} for {date}

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	param	t-stat
$ω$	1.6330	6.59
$α$	0.1191	7.81
$β$	0.8206	39.08
$γ_{1}$	0.0198	0.34
$γ_{2}$	0.0206	0.24
$γ_{3}$	-0.0330	-0.57
$γ_{4}$	-0.0898	-1.65
$γ_{5}$	0.1864	3.24
$γ_{6}$	-0.1997	-3.06
$γ_{7}$	0.1959	2.96
$γ_{8}$	-0.2180	-4.06
$γ_{9}$	0.2870	4.25
$γ_{10}$	-0.6897	-6.83

V-Lab

Logisteed Ltd Spline-GARCH Volatility Analysis

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Date Range:

Parameter Estimates

News Impact Curve

Volatility Forecasts

Other Logisteed Ltd Analyses