V-Lab: TOPIX 500 Index MF2-GARCH Volatility Analysis

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V-Lab

TOPIX 500 Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:18.38% (-1.07%)

Analysis last updated: Friday, May 10, 2024 at 08:55 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.0085	3.30
$β$	0.8045	128.99
$γ$	0.1741	31.74
$λ_{1}$	0.0162	4.47
$λ_{2}$	0.0529	5.04
$λ_{3}$	0.9367	76.10

Estimation Period:
Jan 4, 1993 to May 2, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts