Nikkei Stock Average Volatility Index AGARCH Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
101.05%
decreased by 5.29%
1 Week
101.05%
decreased by 5.29%
1 Month
101.05%
decreased by 5.29%
Analysis last updated: Friday, October 30, 2026 at 06:40 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Oct 29, 2026Model Insight
The news-impact curve is shifted (γ = -3.83) so that positive returns raise next-day volatility more than negative returns of the same size. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and rare among risky assets.
σ
AGARCH Model
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Asymmetry: positive returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.0962 | 1.96* |
| αARCH | 0.0982 | 8.04*** |
| βGARCH | 0.8392 | 53.59*** |
| γleverage | -3.8319 | -4.24*** |
0.937
Persistence11d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0962 | 1.96* |
α ARCH Response to squared shocks | 0.0982 | 8.04*** |
β GARCH Volatility persistence | 0.8392 | 53.59*** |
γ leverage Additional response to negative shocks | -3.8319 | -4.24*** |
Persistence:
0.937
Half-life:
11 days
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