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	39.8982	3.13***
αARCH	0.1190	7.28***
βGARCH	0.9383	49.44***
νDF	4.5817	2.61***

Parameter	Value	t-statistic
ω const Unconditional variance weight	39.8982	3.13***
α ARCH Response to squared shocks	0.1190	7.28***
β GARCH Volatility persistence	0.9383	49.44***
ν DF Student-t tail thickness	4.5817	2.61***

V-Lab

Nikkei Stock Average Volatility Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Nikkei Stock Average Volatility Index Analyses