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	0.0675	4.67***
βGARCH	0.7931	33.74***
γleverage	0.0731	3.57***
λ₁tau intercept	0.0110	2.41**
λ₂forecast adj.	0.0349	4.12***
λ₃tau persistence	0.9624	107.26***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0675	4.67***
β GARCH Volatility persistence	0.7931	33.74***
γ leverage Additional response to negative shocks	0.0731	3.57***
λ₁ tau intercept Baseline long-term coefficient	0.0110	2.41**
λ₂ forecast adj. Forecast performance sensitivity	0.0349	4.12***
λ₃ tau persistence Long-term factor persistence	0.9624	107.26***

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Daiwa House Industry Co Ltd MF2-GARCH Volatility Analysis

Date Range:

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