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V-Lab

Nikkei 225 EGARCH Volatility Analysis

Volatility prediction for Monday, August 10th, 2026

1 Day

28.61%

decreased by 2.36%

1 Week

28.14%

decreased by 2.83%

1 Month

26.74%

decreased by 4.23%

Analysis last updated: Friday, August 7, 2026 at 07:03 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Nikkei 225 EGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Aug 7, 2026

Model Insight

This asset exhibits a strong leverage effect: negative returns increase next-day volatility 239% more than equivalent positive returns.

σ

EGARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0279
11.59***
α

ARCH

Response to squared shocks

0.1915
39.33***
β

GARCH

Volatility persistence

0.9616
686.84***
γ

leverage

Additional response to negative shocks

-0.1041
-22.55***

Persistence:

0.962

Half-life:

18 days