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	0.0672	3.29***
α ARCH Response to squared shocks	0.0887	29.65***
β GARCH Volatility persistence	0.9126	294.58***
γ leverage Additional response to negative shocks	0.4861	1.87*

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Daito Koun Co Ltd AGARCH Volatility Analysis

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