Nikkei Stock Average Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.2788	10.89***
α ARCH Response to squared shocks	0.0831	40.01***
β GARCH Volatility persistence	0.9832	564.10***
ν DF Student-t tail thickness	7.6095	6.87***

V-Lab

Nikkei 225 GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Nikkei 225 Analyses