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	5.4233	1.99**
αscore	0.0803	8.48***
βpersistence	0.9830	102.74***
νDF	6.6521	1.68*

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	5.4233	1.99**
α score Weight on the scaled score	0.0803	8.48***
β persistence Volatility persistence	0.9830	102.74***
ν DF Student-t tail thickness	6.6521	1.68*

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Obayashi Corp GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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