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	1.0651	4.17***
α ARCH Response to squared shocks	0.1495	6.63***
β GARCH Volatility persistence	0.7629	22.26***

γ₁	0.0643	0.84
γ₂	-0.1634	-1.41
γ₃	0.1248	1.67*
γ₄	-0.0056	-0.09
γ₅	-0.0357	-0.75
γ₆	0.0478	0.96
γ₇	-0.0465	-1.05

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Daito Koun Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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