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	26
α ARCH Response to squared shocks	0.0765	21.97***
β GARCH Volatility persistence	0.7145	73.07***
γ leverage Additional response to negative shocks	0.1136	17.62***
λ₁ tau intercept Baseline long-term coefficient	0.0267	3.02***
λ₂ forecast adj. Forecast performance sensitivity	0.0221	4.79***
λ₃ tau persistence Long-term factor persistence	0.9728	162.57***

V-Lab

Kajima Corp MF2-GARCH Volatility Analysis

Date Range:

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