Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

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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
ωconst	2.2563	4.69***
αARCH	0.1864	7.67***
βGARCH	0.6135	16.82***

γ₁	0.1517	2.79***
γ₂	-0.1629	-2.18**
γ₃	0.0087	0.19
γ₄	0.0185	0.46
γ₅	-0.0069	-0.18
γ₆	-0.0474	-1.06
γ₇	0.0725	1.20
γ₈	-0.0654	-1.04
γ₉	0.0767	1.56
γ₁₀	-0.0759	-2.24**

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.2563	4.69***
α ARCH Response to squared shocks	0.1864	7.67***
β GARCH Volatility persistence	0.6135	16.82***

γ₁	0.1517	2.79***
γ₂	-0.1629	-2.18**
γ₃	0.0087	0.19
γ₄	0.0185	0.46
γ₅	-0.0069	-0.18
γ₆	-0.0474	-1.06
γ₇	0.0725	1.20
γ₈	-0.0654	-1.04
γ₉	0.0767	1.56
γ₁₀	-0.0759	-2.24**

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Nikkei Stock Average Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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