Nikkei Stock Average Volatility Index

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{name} Model Equation

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Param	Value	t-stat
mwindow	21
αARCH	0.0758	4.08***
βGARCH	0.6312	14.41***
γleverage	0.1512	4.25***
λ₁tau intercept	0.0238	2.77***
λ₂forecast adj.	0.0314	4.59***
λ₃tau persistence	0.9636	123.68***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0758	4.08***
β GARCH Volatility persistence	0.6312	14.41***
γ leverage Additional response to negative shocks	0.1512	4.25***
λ₁ tau intercept Baseline long-term coefficient	0.0238	2.77***
λ₂ forecast adj. Forecast performance sensitivity	0.0314	4.59***
λ₃ tau persistence Long-term factor persistence	0.9636	123.68***

V-Lab

Nitta Corp MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Nitta Corp Analyses