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
mwindow	21
αARCH	0.1574	7.24***
βGARCH	0.5428	13.78***
γleverage	0.1813	3.78***
λ₁tau intercept	0.0279	2.61***
λ₂forecast adj.	0.1801	3.59***
λ₃tau persistence	0.8016	14.45***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1574	7.24***
β GARCH Volatility persistence	0.5428	13.78***
γ leverage Additional response to negative shocks	0.1813	3.78***
λ₁ tau intercept Baseline long-term coefficient	0.0279	2.61***
λ₂ forecast adj. Forecast performance sensitivity	0.1801	3.59***
λ₃ tau persistence Long-term factor persistence	0.8016	14.45***

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Tokyo Stock Exchange REIT Index MF2-GARCH Volatility Analysis

Date Range:

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