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
ωlong-run	4.3183	4.74***
αscore	0.1022	7.68***
βpersistence	0.9645	123.40***
νDF	7.9233	1.52

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	4.3183	4.74***
α score Weight on the scaled score	0.1022	7.68***
β persistence Volatility persistence	0.9645	123.40***
ν DF Student-t tail thickness	7.9233	1.52

V-Lab

Akita Bank Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Akita Bank Ltd Analyses