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	46
α ARCH Response to squared shocks	0.0289	256.09***
β GARCH Volatility persistence	0.7211	2,512.41***
γ leverage Additional response to negative shocks	0.5000	341.53***
λ₁ tau intercept Baseline long-term coefficient	0.0000	1.00
λ₂ forecast adj. Forecast performance sensitivity	0.0262	102.23***
λ₃ tau persistence Long-term factor persistence	0.0000

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