V-Lab
Nikkei Stock Average Volatility Index GJR-GARCH Volatility Analysis
Volatility Prediction for Monday, May 26th, 2025:83.47% (-1.95%)
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 3.1134 | 20.35 | |
| 0.1741 | 18.27 | |
| 0.7946 | 110.29 | |
| -0.1094 | -7.03 |
Estimation Period:
Jan 3, 1990 to May 23, 2025
Jan 3, 1990 to May 23, 2025
News Impact Curve
Volatility Forecasts
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