Nikkei Stock Average Volatility Index

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{name} Model Equation

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Param	Value	t-stat
mwindow	26
αARCH	0.0865	3.44***
βGARCH	0.6774	12.32***
γleverage	0.0854	2.01**
λ₁tau intercept	0.0867	1.81*
λ₂forecast adj.	0.0634	3.11***
λ₃tau persistence	0.9221	33.61***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0865	3.44***
β GARCH Volatility persistence	0.6774	12.32***
γ leverage Additional response to negative shocks	0.0854	2.01**
λ₁ tau intercept Baseline long-term coefficient	0.0867	1.81*
λ₂ forecast adj. Forecast performance sensitivity	0.0634	3.11***
λ₃ tau persistence Long-term factor persistence	0.9221	33.61***

V-Lab

Inpex Corp MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Inpex Corp Analyses