Nikkei Stock Average Volatility Index

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{name} Model Equation

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Param	Value	t-stat
mwindow	21
αARCH	0.0185	1.98**
βGARCH	0.7833	46.37***
γleverage	0.1721	8.82***
λ₁tau intercept	0.0078	2.97***
λ₂forecast adj.	0.0462	5.14***
λ₃tau persistence	0.9476	92.03***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0185	1.98**
β GARCH Volatility persistence	0.7833	46.37***
γ leverage Additional response to negative shocks	0.1721	8.82***
λ₁ tau intercept Baseline long-term coefficient	0.0078	2.97***
λ₂ forecast adj. Forecast performance sensitivity	0.0462	5.14***
λ₃ tau persistence Long-term factor persistence	0.9476	92.03***

V-Lab

MSCI Asia Pacific MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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