Nikkei Stock Average Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
104.05%
decreased by 5.67%
1 Week
103.42%
decreased by 6.30%
1 Month
101.76%
decreased by 7.96%
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
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 189% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
GJR-GARCH Model
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Inverse leverage: Positive returns increase volatility 189% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.6504 | 5.26*** |
| αARCH | 0.1694 | 4.91*** |
| βGARCH | 0.8179 | 34.32*** |
| γleverage | -0.1109 | -2.05** |
0.932
Persistence10d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.6504 | 5.26*** |
α ARCH Response to squared shocks | 0.1694 | 4.91*** |
β GARCH Volatility persistence | 0.8179 | 34.32*** |
γ leverage Additional response to negative shocks | -0.1109 | -2.05** |
Persistence:
0.932
Half-life:
10 days
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