Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0086	3.17***
β GARCH Volatility persistence	0.7900	135.48***
γ leverage Additional response to negative shocks	0.1890	33.75***
λ₁ tau intercept Baseline long-term coefficient	0.0289	4.79***
λ₂ forecast adj. Forecast performance sensitivity	0.0612	5.48***
λ₃ tau persistence Long-term factor persistence	0.9250	69.23***

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