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	0.0236	6.09***
αARCH	0.1344	6.25***
βGARCH	0.8137	49.42***
γleverage	0.0974	2.33**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0236	6.09***
α ARCH Response to squared shocks	0.1344	6.25***
β GARCH Volatility persistence	0.8137	49.42***
γ leverage Additional response to negative shocks	0.0974	2.33**

V-Lab

Tokyo Stock Exchange REIT Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tokyo Stock Exchange REIT Index Analyses