Nikkei Stock Average Volatility Index

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{name} Model Equation

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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
ωlong-run	10.7501	0.94
αscore	0.0682	17.36***
βpersistence	0.9944	174.42***
νDF	3.3845	9.07***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	10.7501	0.94
α score Weight on the scaled score	0.0682	17.36***
β persistence Volatility persistence	0.9944	174.42***
ν DF Student-t tail thickness	3.3845	9.07***

V-Lab

Matsuda Sangyo Co Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Matsuda Sangyo Co Ltd Analyses