Tokyo Stock Exchange REIT Index MF2-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Friday, June 5th, 2026
1 Day
2.70%
decreased by 8.26%
1 Week
2.64%
decreased by 8.32%
1 Month
2.73%
decreased by 8.23%
Analysis last updated: Friday, June 5, 2026 at 08:23 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 46 | ||
| 1.0000 | 9,999,900.00 | |
| 0.0004 | 4,170.00 | |
| -0.0008 | -8,140.00 | |
| 1.9308 | 19,307,810.00 | |
| 0.0424 | 424,060.00 | |
| 0.0000 | 100.00 |
Estimation Period:
Mar 31, 2003 to Mar 19, 2026
Mar 31, 2003 to Mar 19, 2026
Other MF2-GARCH Analyses on Equity Indices