Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

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	param	t-stat
$m$	21
$α$	0.0102	3.73
$β$	0.7912	135.97
$γ$	0.1874	33.31
$λ_{1}$	0.0286	4.95
$λ_{2}$	0.0580	5.50
$λ_{3}$	0.9280	73.02

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Nikkei 225 MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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