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	1.4955	9.26***
αARCH	0.0693	9.39***
βGARCH	0.9119	107.95***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4955	9.26***
α ARCH Response to squared shocks	0.0693	9.39***
β GARCH Volatility persistence	0.9119	107.95***

V-Lab

S&P Asia 50 CME Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P Asia 50 CME Analyses