Nikkei Stock Average Volatility Index

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{name} Model Equation

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Param	Value	t-stat
mwindow	21
αARCH	0.1168	4.74***
βGARCH	0.6556	16.89***
γleverage	0.0897	2.21**
λ₁tau intercept	0.0156	2.18**
λ₂forecast adj.	0.0273	5.13***
λ₃tau persistence	0.9710	176.80***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1168	4.74***
β GARCH Volatility persistence	0.6556	16.89***
γ leverage Additional response to negative shocks	0.0897	2.21**
λ₁ tau intercept Baseline long-term coefficient	0.0156	2.18**
λ₂ forecast adj. Forecast performance sensitivity	0.0273	5.13***
λ₃ tau persistence Long-term factor persistence	0.9710	176.80***

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Matsuda Sangyo Co Ltd MF2-GARCH Volatility Analysis

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