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	2.2616	4.69***
αARCH	0.1869	7.66***
βGARCH	0.6134	16.81***

γ₁	0.1523	2.80***
γ₂	-0.1635	-2.18**
γ₃	0.0089	0.19
γ₄	0.0182	0.45
γ₅	-0.0063	-0.16
γ₆	-0.0480	-1.07
γ₇	0.0725	1.19
γ₈	-0.0646	-1.02
γ₉	0.0757	1.54
γ₁₀	-0.0755	-2.20**

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.2616	4.69***
α ARCH Response to squared shocks	0.1869	7.66***
β GARCH Volatility persistence	0.6134	16.81***

γ₁	0.1523	2.80***
γ₂	-0.1635	-2.18**
γ₃	0.0089	0.19
γ₄	0.0182	0.45
γ₅	-0.0063	-0.16
γ₆	-0.0480	-1.07
γ₇	0.0725	1.19
γ₈	-0.0646	-1.02
γ₉	0.0757	1.54
γ₁₀	-0.0755	-2.20**

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

Date Range:

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