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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Param	Value	t-stat
ωconst	5.4415	1.28
αARCH	0.0711	8.21***
βGARCH	0.9852	84.09***
νDF	4.2376	3.03***

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.4415	1.28
α ARCH Response to squared shocks	0.0711	8.21***
β GARCH Volatility persistence	0.9852	84.09***
ν DF Student-t tail thickness	4.2376	3.03***

V-Lab

Nitta Corp GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Nitta Corp Analyses