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	0.0572	8.70***
αARCH	0.2059	17.35***
βGARCH	0.7700	59.90***
γleverage	0.2257	8.66***
δpower	0.9678	6.41***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0572	8.70***
α ARCH Response to squared shocks	0.2059	17.35***
β GARCH Volatility persistence	0.7700	59.90***
γ leverage Additional response to negative shocks	0.2257	8.66***
δ power Transformation power	0.9678	6.41***

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Nikkei 225 Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Nikkei 225 Analyses