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
ωconst	40.3226	0.65
αARCH	0.1124	14.96***
βGARCH	0.9842	40.34***
νDF	2.3297	23.40***

Parameter	Value	t-statistic
ω const Unconditional variance weight	40.3226	0.65
α ARCH Response to squared shocks	0.1124	14.96***
β GARCH Volatility persistence	0.9842	40.34***
ν DF Student-t tail thickness	2.3297	23.40***

V-Lab

Onex Corp (Japan) GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Onex Corp (Japan) Analyses