Nikkei Stock Average Volatility Index APARCH Volatility Analysis

Model Insight

This asset shows a rare inverse leverage effect: volatility responds almost entirely to positive returns, rising far more after gains than after losses. This is the reverse of the usual leverage effect, rare among risky assets. The volatility power δ = 1.10 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.