Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

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	param	t-stat
$m$	21
$α$	0.0101	3.72
$β$	0.7929	137.62
$γ$	0.1868	33.32
$λ_{1}$	0.0282	4.99
$λ_{2}$	0.0570	5.54
$λ_{3}$	0.9293	74.92

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Nikkei 225 MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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