Nikkei Stock Average Volatility Index

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{name} Model Equation

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Param	Value	t-stat
mwindow	106
αARCH	0.0880	5.83***
βGARCH	0.7051	24.90***
γleverage	0.1016	3.60***
λ₁tau intercept	0.2580	1.62
λ₂forecast adj.	0.2325	1.84*
λ₃tau persistence	0.7204	4.78***

Parameter	Value	t-statistic
m window Rolling window length	106
α ARCH Response to squared shocks	0.0880	5.83***
β GARCH Volatility persistence	0.7051	24.90***
γ leverage Additional response to negative shocks	0.1016	3.60***
λ₁ tau intercept Baseline long-term coefficient	0.2580	1.62
λ₂ forecast adj. Forecast performance sensitivity	0.2325	1.84*
λ₃ tau persistence Long-term factor persistence	0.7204	4.78***

V-Lab

Taisei Corp MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Taisei Corp Analyses