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	0.6854	4.54***
αARCH	0.2035	7.16***
βGARCH	0.7302	20.40***

γ₁	0.2918	4.26***
γ₂	-0.5582	-5.30***
γ₃	0.4000	5.39***
γ₄	-0.2318	-3.72***
γ₅	0.2284	4.35***
γ₆	-0.2388	-4.23***
γ₇	0.1934	2.32**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6854	4.54***
α ARCH Response to squared shocks	0.2035	7.16***
β GARCH Volatility persistence	0.7302	20.40***

γ₁	0.2918	4.26***
γ₂	-0.5582	-5.30***
γ₃	0.4000	5.39***
γ₄	-0.2318	-3.72***
γ₅	0.2284	4.35***
γ₆	-0.2388	-4.23***
γ₇	0.1934	2.32**

V-Lab

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