Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4748	7.02***
α ARCH Response to squared shocks	0.0723	40.91***
β GARCH Volatility persistence	0.9907	742.10***
ν DF Student-t tail thickness	7.4880	6.61***

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