Nikkei Stock Average Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1285	28.00***
β GARCH Volatility persistence	0.6333	58.52***
γ leverage Additional response to negative shocks	0.0693	9.66***
λ₁ tau intercept Baseline long-term coefficient	0.0411	3.30***
λ₂ forecast adj. Forecast performance sensitivity	0.0308	5.13***
λ₃ tau persistence Long-term factor persistence	0.9608	120.93***

V-Lab

Obayashi Corp MF2-GARCH Volatility Analysis

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