Nikkei Stock Average Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1632	13.79***
α ARCH Response to squared shocks	0.1550	20.15***
β GARCH Volatility persistence	0.9565	358.76***
γ leverage Additional response to negative shocks	0.1022	13.81***

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Nikkei Stock Average Volatility Index EGARCH Volatility Analysis

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