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	2.2540	5.04***
αARCH	0.1818	7.16***
βGARCH	0.6139	15.17***

γ₁	0.1396	3.27***
γ₂	-0.1598	-2.75***
γ₃	0.0231	0.67
γ₄	0.0229	0.68
γ₅	-0.0526	-1.36
γ₆	0.0278	0.60
γ₇	0.0159	0.38
γ₈	-0.0526	-1.46
γ₉	0.1814	3.78***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.2540	5.04***
α ARCH Response to squared shocks	0.1818	7.16***
β GARCH Volatility persistence	0.6139	15.17***

γ₁	0.1396	3.27***
γ₂	-0.1598	-2.75***
γ₃	0.0231	0.67
γ₄	0.0229	0.68
γ₅	-0.0526	-1.36
γ₆	0.0278	0.60
γ₇	0.0159	0.38
γ₈	-0.0526	-1.46
γ₉	0.1814	3.78***

V-Lab

Nikkei Stock Average Volatility Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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