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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 7, 2026Model 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
| Parameter | Value | t-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
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