Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0786	10.53***
α ARCH Response to squared shocks	0.0693	6.91***
β GARCH Volatility persistence	0.9206	284.85***
γ leverage Additional response to negative shocks	0.0202	0.89

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