Nikkei Stock Average Volatility Index

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{name} Model Equation

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Param	Value	t-stat
mwindow	76
αARCH	0.0957	4.52***
βGARCH	0.6941	18.23***
γleverage	0.0927	3.29***
λ₁tau intercept	0.1819	1.14
λ₂forecast adj.	0.1174	1.38
λ₃tau persistence	0.8471	7.44***

Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0957	4.52***
β GARCH Volatility persistence	0.6941	18.23***
γ leverage Additional response to negative shocks	0.0927	3.29***
λ₁ tau intercept Baseline long-term coefficient	0.1819	1.14
λ₂ forecast adj. Forecast performance sensitivity	0.1174	1.38
λ₃ tau persistence Long-term factor persistence	0.8471	7.44***

V-Lab

Shimizu Corp MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Shimizu Corp Analyses