Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

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	param	t-stat
$ω$	2.3016	4.67
$α$	0.1898	7.55
$β$	0.6142	16.77
$γ_{1}$	0.1560	2.80
$γ_{2}$	-0.1679	-2.19
$γ_{3}$	0.0103	0.22
$γ_{4}$	0.0157	0.38
$γ_{5}$	-0.0017	-0.04
$γ_{6}$	-0.0511	-1.08
$γ_{7}$	0.0678	1.05
$γ_{8}$	-0.0494	-0.75
$γ_{9}$	0.0484	0.96
$γ_{10}$	-0.0478	-1.35

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Nikkei Stock Average Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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