Nikkei Stock Average Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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	8.1693	1.59
αARCH	0.0600	13.54***
βGARCH	0.9988	1,570.51***
νDF	7.7883	1.76*

Parameter	Value	t-statistic
ω const Unconditional variance weight	8.1693	1.59
α ARCH Response to squared shocks	0.0600	13.54***
β GARCH Volatility persistence	0.9988	1,570.51***
ν DF Student-t tail thickness	7.7883	1.76*

V-Lab

S&P Asia 50 CME GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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