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 Friday, May 17th, 2024:15.07% (-0.53%)

Analysis last updated: Thursday, May 16, 2024 at 07:02 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.0161	5.78
$β$	0.7938	117.20
$γ$	0.1747	30.02
$λ_{1}$	0.0331	4.29
$λ_{2}$	0.0845	3.92
$λ_{3}$	0.8952	34.71

Estimation Period:
Jan 4, 1991 to May 10, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts