Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1365	10.60***
α ARCH Response to squared shocks	0.1119	9.74***
β GARCH Volatility persistence	0.8608	70.70***

V-Lab

Nikkei 225 Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Nikkei 225 Analyses