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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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.0104	1.76*
α ARCH Response to squared shocks	0.2476	5.88***
β GARCH Volatility persistence	0.7077	16.99***

γ₁	-0.4232	-1.09
γ₂	1.0684	2.00**
γ₃	-1.4200	-3.31***
γ₄	1.4593	3.82***
γ₅	-1.3050	-5.15***
γ₆	1.2692	5.37***
γ₇	-1.1739	-4.58***
γ₈	0.9245	2.19**
γ₉	-0.8497	-1.27
γ₁₀	1.0043	1.25

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Jason Co Ltd Spline-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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