Nikkei Stock Average Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3666	8.83***
α ARCH Response to squared shocks	0.1020	9.72***
β GARCH Volatility persistence	0.8809	86.59***

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MSCI Asia Pacific Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other MSCI Asia Pacific Analyses