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	0.0210	5.96***
α ARCH Response to squared shocks	0.1081	44.32***
β GARCH Volatility persistence	0.8566	335.65***
γ leverage Additional response to negative shocks	0.7382	26.19***

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Nikkei 225 AGARCH Volatility Analysis

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