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

V-Lab

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V-Lab

Nikkei 225 Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:16.35% (-0.53%)

Analysis last updated: Friday, September 22, 2023 at 06:33 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1730	10.43
$α$	0.1044	9.98
$β$	0.8707	77.03
$γ_{1}$	0.0003	1.89

Estimation Period:
Jan 2, 1990 to Sep 22, 2023

News Impact Curve

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Volatility Forecasts

Volatility Forecasts