Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0194	7.20***
β GARCH Volatility persistence	0.7790	132.79***
γ leverage Additional response to negative shocks	0.1720	32.40***
λ₁ tau intercept Baseline long-term coefficient	0.0077	5.35***
λ₂ forecast adj. Forecast performance sensitivity	0.0466	6.71***
λ₃ tau persistence Long-term factor persistence	0.9472	122.99***

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