Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0766	5.60***
β GARCH Volatility persistence	0.7142	19.94***
γ leverage Additional response to negative shocks	0.1134	4.42***
λ₁ tau intercept Baseline long-term coefficient	0.0270	1.92*
λ₂ forecast adj. Forecast performance sensitivity	0.0222	3.29***
λ₃ tau persistence Long-term factor persistence	0.9727	108.31***

V-Lab

Kajima Corp MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kajima Corp Analyses