Nikkei Stock Average Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	26
αARCH	0.0145	1.35
βGARCH	0.7643	38.26***
γleverage	0.1958	9.85***
λ₁tau intercept	0.0365	2.76***
λ₂forecast adj.	0.0821	3.60***
λ₃tau persistence	0.8936	30.21***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0145	1.35
β GARCH Volatility persistence	0.7643	38.26***
γ leverage Additional response to negative shocks	0.1958	9.85***
λ₁ tau intercept Baseline long-term coefficient	0.0365	2.76***
λ₂ forecast adj. Forecast performance sensitivity	0.0821	3.60***
λ₃ tau persistence Long-term factor persistence	0.8936	30.21***

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