Nikkei Stock Average Volatility Index APARCH Volatility Analysis

Model Insight

This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 357% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets. The volatility power δ = 1.12 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.