Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

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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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Param	Value	t-stat
ωlong-run	40.0546	0.65
αscore	0.1123	14.84***
βpersistence	0.9841	40.07***
νDF	2.3311	23.13***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	40.0546	0.65
α score Weight on the scaled score	0.1123	14.84***
β persistence Volatility persistence	0.9841	40.07***
ν DF Student-t tail thickness	2.3311	23.13***

V-Lab

Onex Corp (Japan) GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Onex Corp (Japan) Analyses