V-Lab: Tokyo Stock Exchange Tokyo Price Index TOPIX MF2-GARCH Volatility Analysis

V-Lab

Tokyo Stock Exchange Tokyo Price Index TOPIX MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 2nd, 2025:19.85% (-1.02%)

Analysis last updated: Friday, May 2, 2025 at 11:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.0139	4.65
$β$	0.7707	121.70
$γ$	0.1914	33.56
$λ_{1}$	0.0360	4.34
$λ_{2}$	0.0862	4.67
$λ_{3}$	0.8899	38.18

Estimation Period:
Jan 2, 1990 to Apr 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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