Nikkei Stock Average Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

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	0.0652	9.42***
αARCH	0.1242	8.60***
βGARCH	0.7743	69.36***
γleverage	0.1434	5.04***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0652	9.42***
α ARCH Response to squared shocks	0.1242	8.60***
β GARCH Volatility persistence	0.7743	69.36***
γ leverage Additional response to negative shocks	0.1434	5.04***

V-Lab

Nikkei 225 Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Nikkei 225 Analyses