V-Lab
Nikkei Stock Average Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, August 21st, 2026
1 Day
156.04%
decreased by 12.72%
1 Week
149.49%
decreased by 19.27%
1 Month
131.50%
decreased by 37.26%
Analysis last updated: Friday, August 21, 2026 at 08:17 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Jul 31, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 180% 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.8695 | 21.57*** |
α ARCH Response to squared shocks | 0.1785 | 19.64*** |
β GARCH Volatility persistence | 0.8049 | 128.85*** |
γ leverage Additional response to negative shocks | -0.1147 | -7.89*** |
Persistence:
0.926
Half-life:
9 days
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