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	1.1187	1.99**
αARCH	0.0995	8.00***
βGARCH	0.8373	52.26***
γleverage	-3.8096	-4.24***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1187	1.99**
α ARCH Response to squared shocks	0.0995	8.00***
β GARCH Volatility persistence	0.8373	52.26***
γ leverage Additional response to negative shocks	-3.8096	-4.24***

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Nikkei Stock Average Volatility Index AGARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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