Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

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	param	t-stat
$ω$	2.2672	5.01
$α$	0.1794	7.16
$β$	0.6171	15.30
$γ_{1}$	0.1423	3.25
$γ_{2}$	-0.1627	-2.73
$γ_{3}$	0.0228	0.64
$γ_{4}$	0.0232	0.67
$γ_{5}$	-0.0489	-1.24
$γ_{6}$	0.0174	0.38
$γ_{7}$	0.0324	0.79
$γ_{8}$	-0.0766	-2.17
$γ_{9}$	0.2136	4.49

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Nikkei Stock Average Volatility Index Spline-GARCH Volatility Analysis

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