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	1.7722	3.46***
αscore	0.0972	10.23***
βpersistence	0.9778	140.96***
νDF	7.6491	1.85*

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	1.7722	3.46***
α score Weight on the scaled score	0.0972	10.23***
β persistence Volatility persistence	0.9778	140.96***
ν DF Student-t tail thickness	7.6491	1.85*

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Tokyo Stock Exchange Tokyo Stock Price Index TOPIX GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

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