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	0.0657	27.11***
α ARCH Response to squared shocks	0.0354	11.47***
β GARCH Volatility persistence	0.8656	348.34***
γ leverage Additional response to negative shocks	0.1394	18.35***

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Nikkei 225 GJR-GARCH Volatility Analysis

Date Range:

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Volatility Forecast

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