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
ωlong-run	8.5022	1.60
αscore	0.0609	13.64***
βpersistence	0.9989	1,629.49***
νDF	8.0185	1.65*

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	8.5022	1.60
α score Weight on the scaled score	0.0609	13.64***
β persistence Volatility persistence	0.9989	1,629.49***
ν DF Student-t tail thickness	8.0185	1.65*

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