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

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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	1.0441	11.40***
αARCH	0.1213	10.33***
βGARCH	0.8455	69.23***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0441	11.40***
α ARCH Response to squared shocks	0.1213	10.33***
β GARCH Volatility persistence	0.8455	69.23***

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Tokyo Stock Exchange Tokyo Stock Price Index TOPIX Zero Slope Spline-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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