Nikkei Stock Average Volatility Index

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{name} Model Equation

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Param	Value	t-stat
mwindow	66
αARCH	0.0586	4.63***
βGARCH	0.7922	29.88***
γleverage	0.1027	4.13***
λ₁tau intercept	0.0350	1.54
λ₂forecast adj.	0.0494	2.47**
λ₃tau persistence	0.9429	40.07***

Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0586	4.63***
β GARCH Volatility persistence	0.7922	29.88***
γ leverage Additional response to negative shocks	0.1027	4.13***
λ₁ tau intercept Baseline long-term coefficient	0.0350	1.54
λ₂ forecast adj. Forecast performance sensitivity	0.0494	2.47**
λ₃ tau persistence Long-term factor persistence	0.9429	40.07***

V-Lab

COMSYS Holdings Corp MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other COMSYS Holdings Corp Analyses