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	0.0243	25.51***
α ARCH Response to squared shocks	0.0380	17.43***
β GARCH Volatility persistence	0.8907	443.60***
γ leverage Additional response to negative shocks	0.1086	19.15***

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