Nikkei Stock Average Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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Spline Coefficients

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	0.0656	6.81***
αARCH	0.0356	2.92***
βGARCH	0.8663	87.74***
γleverage	0.1375	4.56***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0656	6.81***
α ARCH Response to squared shocks	0.0356	2.92***
β GARCH Volatility persistence	0.8663	87.74***
γ leverage Additional response to negative shocks	0.1375	4.56***

V-Lab

Nikkei 225 GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Nikkei 225 Analyses