Nikkei Stock Average Volatility Index

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{name} Model Equation

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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
mwindow	21
αARCH	0.0083	0.87
βGARCH	0.7898	42.86***
γleverage	0.1887	9.86***
λ₁tau intercept	0.0298	2.77***
λ₂forecast adj.	0.0621	3.93***
λ₃tau persistence	0.9236	47.77***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0083	0.87
β GARCH Volatility persistence	0.7898	42.86***
γ leverage Additional response to negative shocks	0.1887	9.86***
λ₁ tau intercept Baseline long-term coefficient	0.0298	2.77***
λ₂ forecast adj. Forecast performance sensitivity	0.0621	3.93***
λ₃ tau persistence Long-term factor persistence	0.9236	47.77***

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Nikkei 225 MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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