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
ωconst	0.3247	5.22***
αARCH	0.0841	4.12***
βGARCH	0.8335	39.42***
γleverage	0.0404	1.02

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3247	5.22***
α ARCH Response to squared shocks	0.0841	4.12***
β GARCH Volatility persistence	0.8335	39.42***
γ leverage Additional response to negative shocks	0.0404	1.02

V-Lab

Japan Petroleum Ex GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Japan Petroleum Ex Analyses