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	4,249.3870	8.89***
α ARCH Response to squared shocks	0.1033	164.69***
β GARCH Volatility persistence	0.9981	4,730.23***
ν DF Student-t tail thickness	2.0033

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Daito Koun Co Ltd GAS-GARCH Student T Volatility Analysis

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