Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

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{type} for {date}

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	param	t-stat
$ω$	1.3802	3.98
$α$	0.1281	7.53
$β$	0.8341	38.87
$γ_{1}$	0.1455	2.37
$γ_{2}$	-0.2608	-3.05
$γ_{3}$	0.1606	2.96
$γ_{4}$	-0.0264	-0.44
$γ_{5}$	-0.0646	-0.90
$γ_{6}$	0.0941	1.33
$γ_{7}$	-0.0523	-0.77
$γ_{8}$	-0.2720	-3.08

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NTT Data Group Corp Spline-GARCH Volatility Analysis

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Date Range:

Parameter Estimates

News Impact Curve

Volatility Forecasts

Other NTT Data Group Corp Analyses