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	0.1277	2.00**
αARCH	0.2041	10.74***
βGARCH	0.7777	66.01***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1277	2.00**
α ARCH Response to squared shocks	0.2041	10.74***
β GARCH Volatility persistence	0.7777	66.01***

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Taisei Corp MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Taisei Corp Analyses