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	27.13***
α ARCH Response to squared shocks	0.0352	11.44***
β GARCH Volatility persistence	0.8657	348.81***
γ leverage Additional response to negative shocks	0.1393	18.36***

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Nikkei 225 GJR-GARCH Volatility Analysis

Date Range:

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Volatility Forecast

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