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
ωconst	0.3695	3.51***
αARCH	0.1412	5.27***
βGARCH	0.8302	33.83***
γleverage	0.0572	0.99

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3695	3.51***
α ARCH Response to squared shocks	0.1412	5.27***
β GARCH Volatility persistence	0.8302	33.83***
γ leverage Additional response to negative shocks	0.0572	0.99

V-Lab

Onex Corp (Japan) GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Onex Corp (Japan) Analyses