Nikkei Stock Average Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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
mwindow	21
αARCH	0.1286	6.23***
βGARCH	0.6320	16.37***
γleverage	0.0690	2.67***
λ₁tau intercept	0.0421	2.28**
λ₂forecast adj.	0.0314	3.92***
λ₃tau persistence	0.9600	88.57***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1286	6.23***
β GARCH Volatility persistence	0.6320	16.37***
γ leverage Additional response to negative shocks	0.0690	2.67***
λ₁ tau intercept Baseline long-term coefficient	0.0421	2.28**
λ₂ forecast adj. Forecast performance sensitivity	0.0314	3.92***
λ₃ tau persistence Long-term factor persistence	0.9600	88.57***

V-Lab

Obayashi Corp MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Obayashi Corp Analyses