Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	39.2442	13.17***
α ARCH Response to squared shocks	0.1210	28.93***
β GARCH Volatility persistence	0.9346	195.11***
ν DF Student-t tail thickness	4.6202	10.32***

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Nikkei Stock Average Volatility Index GAS-GARCH Student T Volatility Analysis

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News Impact Curve

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