Nikkei Stock Average Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0894	6.38***
α ARCH Response to squared shocks	0.2491	19.59***
β GARCH Volatility persistence	0.7205	48.38***
γ leverage Additional response to negative shocks	0.0306	1.58
δ power Transformation power	0.7332	4.98***

V-Lab

Kajima Corp Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kajima Corp Analyses