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	1.0479	4.36***
α ARCH Response to squared shocks	0.1437	6.92***
β GARCH Volatility persistence	0.7605	22.18***

γ₁	0.0712	0.96
γ₂	-0.1761	-1.56
γ₃	0.1369	1.89*
γ₄	-0.0222	-0.38
γ₅	-0.0008	-0.02
γ₆	-0.0360	-0.85
γ₇	0.1664	2.40**

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Daito Koun Co Ltd Spline-GARCH Volatility Analysis

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