Nikkei Stock Average Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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
ωconst	5.2364	1.66*
αARCH	0.0759	8.02***
βGARCH	0.9831	88.92***
νDF	5.7312	1.90*

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.2364	1.66*
α ARCH Response to squared shocks	0.0759	8.02***
β GARCH Volatility persistence	0.9831	88.92***
ν DF Student-t tail thickness	5.7312	1.90*

V-Lab

Obayashi Corp GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Obayashi Corp Analyses