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	0.0836	23.47***
α ARCH Response to squared shocks	0.1871	25.98***
β GARCH Volatility persistence	0.9775	738.84***
γ leverage Additional response to negative shocks	-0.0279	-2.97***

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Daito Koun Co Ltd EGARCH Volatility Analysis

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