Nikkei Stock Average Volatility Index

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{name} Model Equation

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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
ωconst	0.1900	3.74***
αARCH	0.2494	13.49***
βGARCH	0.7216	56.29***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1900	3.74***
α ARCH Response to squared shocks	0.2494	13.49***
β GARCH Volatility persistence	0.7216	56.29***

V-Lab

Kajima Corp MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kajima Corp Analyses