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	0.0208	1.47
αARCH	0.1075	11.07***
βGARCH	0.8572	84.35***
γleverage	0.7398	6.54***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0208	1.47
α ARCH Response to squared shocks	0.1075	11.07***
β GARCH Volatility persistence	0.8572	84.35***
γ leverage Additional response to negative shocks	0.7398	6.54***

V-Lab

Nikkei 225 AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Nikkei 225 Analyses