Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

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	param	t-stat
$ω$	2.2808	4.63
$α$	0.1917	7.48
$β$	0.6043	16.12
$γ_{1}$	0.1562	2.77
$γ_{2}$	-0.1681	-2.16
$γ_{3}$	0.0097	0.20
$γ_{4}$	0.0165	0.40
$γ_{5}$	-0.0012	-0.03
$γ_{6}$	-0.0519	-1.09
$γ_{7}$	0.0662	1.02
$γ_{8}$	-0.0439	-0.67
$γ_{9}$	0.0393	0.78
$γ_{10}$	-0.0395	-1.11

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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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