Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

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	param	t-stat
$m$	21
$α$	0.0087	3.20
$β$	0.7910	135.61
$γ$	0.1886	33.59
$λ_{1}$	0.0289	4.84
$λ_{2}$	0.0599	5.46
$λ_{3}$	0.9261	70.38

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Nikkei 225 MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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