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	0.0611	4.28***
αARCH	0.0797	8.96***
βGARCH	0.9152	107.73***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0611	4.28***
α ARCH Response to squared shocks	0.0797	8.96***
β GARCH Volatility persistence	0.9152	107.73***

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Matsuda Sangyo Co Ltd GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Matsuda Sangyo Co Ltd Analyses