Nikkei Stock Average Volatility Index

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{name} Model Equation

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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
ωlong-run	5.8770	1.57
αscore	0.0669	6.45***
βpersistence	0.9858	98.14***
νDF	6.6980	1.26

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	5.8770	1.57
α score Weight on the scaled score	0.0669	6.45***
β persistence Volatility persistence	0.9858	98.14***
ν DF Student-t tail thickness	6.6980	1.26

V-Lab

Inpex Corp GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Inpex Corp Analyses