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	0.0576	34.75***
α ARCH Response to squared shocks	0.2066	69.22***
β GARCH Volatility persistence	0.7690	237.35***
γ leverage Additional response to negative shocks	0.2246	34.52***
δ power Transformation power	0.9672	25.42***

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