V-Lab: Nikkei 225 Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Nikkei 225 Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, March 23rd, 2023:19.93% (+0.92%)

Analysis last updated: Wednesday, March 22, 2023, 04:33 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1667	10.32
$α$	0.1051	9.94
$β$	0.8702	76.39
$γ_{1}$	0.0003	1.75

Estimation Period:
Jan 2, 1990 to Mar 20, 2023

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