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	1.1632	5.69***
α ARCH Response to squared shocks	0.0889	9.54***
β GARCH Volatility persistence	0.8812	75.34***

γ₁	-0.0560	-1.42
γ₂	0.2098	3.74***
γ₃	-0.3260	-9.15***
γ₄	0.2971	6.73***
γ₅	-0.2151	-3.89***
γ₆	0.1406	2.59***
γ₇	-0.0488	-0.99
γ₈	-0.0492	-0.86
γ₉	0.1145	1.35

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Daiwa House Industry Co Ltd Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Daiwa House Industry Co Ltd Analyses