Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

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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	2.9958	4.85***
αARCH	0.1426	6.98***
βGARCH	0.7899	30.48***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.9958	4.85***
α ARCH Response to squared shocks	0.1426	6.98***
β GARCH Volatility persistence	0.7899	30.48***

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Nikkei Stock Average Volatility Index GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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