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	0.0077	1.53
αARCH	0.0912	11.41***
βGARCH	0.8868	109.00***
γleverage	0.5042	8.92***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0077	1.53
α ARCH Response to squared shocks	0.0912	11.41***
β GARCH Volatility persistence	0.8868	109.00***
γ leverage Additional response to negative shocks	0.5042	8.92***

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