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	0.0648	37.33***
α ARCH Response to squared shocks	0.1246	34.34***
β GARCH Volatility persistence	0.7743	276.14***
γ leverage Additional response to negative shocks	0.1436	20.08***

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Nikkei 225 Asy. MEM Volatility Analysis

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