Nikkei Stock Average Volatility Index

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{name} Model Equation

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Param	Value	t-stat
ωconst	0.1948	6.31***
αARCH	0.0797	5.22***
βGARCH	0.8506	65.31***
γleverage	0.0706	2.15**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1948	6.31***
α ARCH Response to squared shocks	0.0797	5.22***
β GARCH Volatility persistence	0.8506	65.31***
γ leverage Additional response to negative shocks	0.0706	2.15**

V-Lab

Obayashi Corp GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Obayashi Corp Analyses