Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{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	0.6807	4.45***
αARCH	0.2022	7.17***
βGARCH	0.7340	20.68***

γ₁	0.2857	4.09***
γ₂	-0.5478	-5.12***
γ₃	0.3914	5.21***
γ₄	-0.2220	-3.53***
γ₅	0.2137	4.12***
γ₆	-0.2101	-4.17***
γ₇	0.1191	3.15***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6807	4.45***
α ARCH Response to squared shocks	0.2022	7.17***
β GARCH Volatility persistence	0.7340	20.68***

γ₁	0.2857	4.09***
γ₂	-0.5478	-5.12***
γ₃	0.3914	5.21***
γ₄	-0.2220	-3.53***
γ₅	0.2137	4.12***
γ₆	-0.2101	-4.17***
γ₇	0.1191	3.15***

V-Lab

Tokyo Stock Exchange REIT Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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