V-Lab: Nikkei 225 GJR-GARCH Volatility Analysis

V-Lab

Nikkei 225 GJR-GARCH Volatility Analysis

Volatility Prediction for Thursday, October 9th, 2025:18.39% (-0.62%)

Analysis last updated: Wednesday, October 8, 2025 at 07:02 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0655	26.82
$α$	0.0324	9.61
$β$	0.8661	343.40
$γ$	0.1413	18.06

Estimation Period:
Jan 2, 1990 to Oct 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts