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	0.0674	19.11***
β GARCH Volatility persistence	0.7923	91.72***
γ leverage Additional response to negative shocks	0.0730	14.00***
λ₁ tau intercept Baseline long-term coefficient	0.0113	5.99***
λ₂ forecast adj. Forecast performance sensitivity	0.0354	6.95***
λ₃ tau persistence Long-term factor persistence	0.9618	177.52***

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Daiwa House Industry Co Ltd MF2-GARCH Volatility Analysis

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