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	1.1609	7.36***
α ARCH Response to squared shocks	0.1181	9.26***
β GARCH Volatility persistence	0.7837	35.23***

γ₁	0.0221	0.70
γ₂	0.0307	0.65
γ₃	-0.1435	-4.51***
γ₄	0.1700	5.33***
γ₅	-0.1384	-4.05***
γ₆	0.0790	2.27**
γ₇	-0.0223	-0.62
γ₈	0.0235	0.73
γ₉	-0.0351	-1.51

V-Lab

Kajima Corp Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kajima Corp Analyses