Nikkei Stock Average Volatility Index

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{name} Model Equation

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Param	Value	t-stat
mwindow	21
αARCH	0.0757	4.06***
βGARCH	0.6303	14.34***
γleverage	0.1516	4.25***
λ₁tau intercept	0.0237	2.77***
λ₂forecast adj.	0.0313	4.58***
λ₃tau persistence	0.9637	123.88***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0757	4.06***
β GARCH Volatility persistence	0.6303	14.34***
γ leverage Additional response to negative shocks	0.1516	4.25***
λ₁ tau intercept Baseline long-term coefficient	0.0237	2.77***
λ₂ forecast adj. Forecast performance sensitivity	0.0313	4.58***
λ₃ tau persistence Long-term factor persistence	0.9637	123.88***

V-Lab

Nitta Corp MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Nitta Corp Analyses