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

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
mwindow	21
αARCH	0.2264	6.55***
βGARCH	0.6644	17.46***
γleverage	-0.1782	-4.24***
λ₁tau intercept	0.1861	1.99**
λ₂forecast adj.	0.0122	3.39***
λ₃tau persistence	0.9827	181.64***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.2264	6.55***
β GARCH Volatility persistence	0.6644	17.46***
γ leverage Additional response to negative shocks	-0.1782	-4.24***
λ₁ tau intercept Baseline long-term coefficient	0.1861	1.99**
λ₂ forecast adj. Forecast performance sensitivity	0.0122	3.39***
λ₃ tau persistence Long-term factor persistence	0.9827	181.64***

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