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
ωconst	2.2516	4.69***
αARCH	0.1868	7.69***
βGARCH	0.6112	16.67***

γ₁	0.1508	2.79***
γ₂	-0.1618	-2.18**
γ₃	0.0083	0.18
γ₄	0.0193	0.48
γ₅	-0.0084	-0.22
γ₆	-0.0461	-1.04
γ₇	0.0728	1.22
γ₈	-0.0675	-1.08
γ₉	0.0804	1.65*
γ₁₀	-0.0797	-2.37**

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.2516	4.69***
α ARCH Response to squared shocks	0.1868	7.69***
β GARCH Volatility persistence	0.6112	16.67***

γ₁	0.1508	2.79***
γ₂	-0.1618	-2.18**
γ₃	0.0083	0.18
γ₄	0.0193	0.48
γ₅	-0.0084	-0.22
γ₆	-0.0461	-1.04
γ₇	0.0728	1.22
γ₈	-0.0675	-1.08
γ₉	0.0804	1.65*
γ₁₀	-0.0797	-2.37**

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Nikkei Stock Average Volatility Index Zero Slope Spline-GARCH Volatility Analysis

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