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	189.1520	3.66***
α ARCH Response to squared shocks	0.0642	71.91***
β GARCH Volatility persistence	0.9886	316.44***
ν DF Student-t tail thickness	2.0085	3,977.27***

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Isewan Terminal Service Co GAS-GARCH Student T Volatility Analysis

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News Impact Curve

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