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
mwindow	26
αARCH	0.0676	4.69***
βGARCH	0.7938	33.99***
γleverage	0.0728	3.56***
λ₁tau intercept	0.0108	2.40**
λ₂forecast adj.	0.0347	4.12***
λ₃tau persistence	0.9626	107.94***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0676	4.69***
β GARCH Volatility persistence	0.7938	33.99***
γ leverage Additional response to negative shocks	0.0728	3.56***
λ₁ tau intercept Baseline long-term coefficient	0.0108	2.40**
λ₂ forecast adj. Forecast performance sensitivity	0.0347	4.12***
λ₃ tau persistence Long-term factor persistence	0.9626	107.94***

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Daiwa House Industry Co Ltd MF2-GARCH Volatility Analysis

Date Range:

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