V-Lab
Nikkei Stock Average Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Monday, September 28th, 2026
1 Day
102.81%
decreased by 5.57%
1 Week
102.34%
decreased by 6.04%
1 Month
101.09%
decreased by 7.29%
Analysis last updated: Friday, October 2, 2026 at 09:42 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 Sep 25, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 192% 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 192% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.6835 | 5.27*** |
| αARCH | 0.1725 | 4.92*** |
| βGARCH | 0.8152 | 33.96*** |
| γleverage | -0.1134 | -2.07** |
0.931
Persistence10d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.6835 | 5.27*** |
α ARCH Response to squared shocks | 0.1725 | 4.92*** |
β GARCH Volatility persistence | 0.8152 | 33.96*** |
γ leverage Additional response to negative shocks | -0.1134 | -2.07** |
Persistence:
0.931
Half-life:
10 days
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