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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Param	Value	t-stat
ωlong-run	2.2817	2.69***
αscore	0.0828	9.91***
βpersistence	0.9832	139.88***
νDF	7.5797	1.71*

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	2.2817	2.69***
α score Weight on the scaled score	0.0828	9.91***
β persistence Volatility persistence	0.9832	139.88***
ν DF Student-t tail thickness	7.5797	1.71*

V-Lab

Nikkei 225 GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Nikkei 225 Analyses