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	1.6445	2.95***
αARCH	0.0827	9.60***
βGARCH	0.9783	128.34***
νDF	6.3350	2.03**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6445	2.95***
α ARCH Response to squared shocks	0.0827	9.60***
β GARCH Volatility persistence	0.9783	128.34***
ν DF Student-t tail thickness	6.3350	2.03**

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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

Parameter Estimates

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