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
ωconst	0.0636	9.66***
αARCH	0.1482	8.79***
βGARCH	0.7428	61.08***
γleverage	0.1413	4.39***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0636	9.66***
α ARCH Response to squared shocks	0.1482	8.79***
β GARCH Volatility persistence	0.7428	61.08***
γ leverage Additional response to negative shocks	0.1413	4.39***

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