Nikkei Stock Average Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0084	3.13***
β GARCH Volatility persistence	0.7904	136.44***
γ leverage Additional response to negative shocks	0.1889	33.87***
λ₁ tau intercept Baseline long-term coefficient	0.0286	4.79***
λ₂ forecast adj. Forecast performance sensitivity	0.0610	5.52***
λ₃ tau persistence Long-term factor persistence	0.9254	69.92***

V-Lab

Nikkei 225 MF2-GARCH Volatility Analysis

Date Range:

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Volatility Forecast

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