Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

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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
mwindow	21
αARCH	0.2268	6.56***
βGARCH	0.6640	17.47***
γleverage	-0.1782	-4.22***
λ₁tau intercept	0.1871	1.97**
λ₂forecast adj.	0.0123	3.39***
λ₃tau persistence	0.9825	180.18***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.2268	6.56***
β GARCH Volatility persistence	0.6640	17.47***
γ leverage Additional response to negative shocks	-0.1782	-4.22***
λ₁ tau intercept Baseline long-term coefficient	0.1871	1.97**
λ₂ forecast adj. Forecast performance sensitivity	0.0123	3.39***
λ₃ tau persistence Long-term factor persistence	0.9825	180.18***

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