Nikkei Stock Average Volatility Index

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{name} Model Equation

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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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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4471	6.18***
α ARCH Response to squared shocks	0.1177	7.28***
β GARCH Volatility persistence	0.7810	27.56***

γ₁	0.0000	0.00
γ₂	0.0808	1.19
γ₃	-0.2191	-4.50***
γ₄	0.2627	5.58***
γ₅	-0.1950	-4.54***
γ₆	0.1134	3.00***
γ₇	-0.0603	-1.51
γ₈	0.0145	0.36
γ₉	-0.0269	-0.50
γ₁₀	0.1477	1.58

V-Lab

Nissui Corp Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Nissui Corp Analyses