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
ωlong-run	20.1901	0.89
αscore	0.1292	14.20***
βpersistence	0.9899	89.24***
νDF	3.8136	6.33***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	20.1901	0.89
α score Weight on the scaled score	0.1292	14.20***
β persistence Volatility persistence	0.9899	89.24***
ν DF Student-t tail thickness	3.8136	6.33***

V-Lab

Yamada Consulting Group Co GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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