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	0.0278	2.89***
αARCH	0.1908	9.82***
βGARCH	0.9617	172.28***
γleverage	-0.1039	-5.63***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0278	2.89***
α ARCH Response to squared shocks	0.1908	9.82***
β GARCH Volatility persistence	0.9617	172.28***
γ leverage Additional response to negative shocks	-0.1039	-5.63***

V-Lab

Nikkei 225 EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Nikkei 225 Analyses