Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

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	param	t-stat
$ω$	2.2956	4.67
$α$	0.1887	7.54
$β$	0.6159	16.83
$γ_{1}$	0.1549	2.80
$γ_{2}$	-0.1667	-2.18
$γ_{3}$	0.0100	0.21
$γ_{4}$	0.0164	0.40
$γ_{5}$	-0.0029	-0.07
$γ_{6}$	-0.0500	-1.07
$γ_{7}$	0.0683	1.07
$γ_{8}$	-0.0514	-0.79
$γ_{9}$	0.0509	1.01
$γ_{10}$	-0.0496	-1.41

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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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