V-Lab: Nikkei 500 MF2-GARCH Volatility Analysis

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V-Lab

Nikkei 500 MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:21.39% (-1.46%)

Analysis last updated: Friday, April 26, 2024 at 07:03 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	31
$α$	0.0220	6.15
$β$	0.7856	138.68
$γ$	0.1695	29.78
$λ_{1}$	0.0631	3.72
$λ_{2}$	0.1550	3.46
$λ_{3}$	0.8026	14.48

Estimation Period:
Jan 2, 1990 to Apr 26, 2024

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Volatility Forecasts

Volatility Forecasts