Nikkei Stock Average Volatility Index

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{name} Model Equation

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Spline Coefficients

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	5.7214	1.28
αscore	0.0655	8.32***
βpersistence	0.9890	116.59***
νDF	5.2763	2.19**

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	5.7214	1.28
α score Weight on the scaled score	0.0655	8.32***
β persistence Volatility persistence	0.9890	116.59***
ν DF Student-t tail thickness	5.2763	2.19**

V-Lab

Taisei Corp GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Taisei Corp Analyses