V-Lab: Nikkei 300 Index MF2-GARCH Volatility Analysis

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V-Lab

Nikkei 300 Index MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:18.38% (-1.09%)

Analysis last updated: Thursday, May 2, 2024 at 07:06 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.0161	5.79
$β$	0.7937	117.28
$γ$	0.1749	30.03
$λ_{1}$	0.0331	4.30
$λ_{2}$	0.0844	3.92
$λ_{3}$	0.8953	34.78

Estimation Period:
Jan 4, 1991 to May 2, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts