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	0.0528	7.86***
αARCH	0.1024	9.13***
βGARCH	0.8828	82.05***
γleverage	0.5585	5.61***
δpower	1.1140	8.03***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0528	7.86***
α ARCH Response to squared shocks	0.1024	9.13***
β GARCH Volatility persistence	0.8828	82.05***
γ leverage Additional response to negative shocks	0.5585	5.61***
δ power Transformation power	1.1140	8.03***

V-Lab

Nikkei 225 APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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