Nikkei Stock Average Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0770	9.93***
α ARCH Response to squared shocks	0.0770	17.70***
β GARCH Volatility persistence	0.9230	296.39***
γ leverage Additional response to negative shocks	0.0720	1.78*
δ power Transformation power	1.8951	24.35***

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