Nikkei Stock Average Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Monday, June 29th, 2026
1 Day
155.34%
increased by 20.02%
1 Week
148.82%
increased by 13.50%
1 Month
130.94%
decreased by 4.38%
Analysis last updated: Friday, July 3, 2026 at 10:05 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Jun 26, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 179% 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 | 2.8568 | 21.37*** |
α ARCH Response to squared shocks | 0.1765 | 19.51*** |
β GARCH Volatility persistence | 0.8060 | 128.35*** |
γ leverage Additional response to negative shocks | -0.1132 | -7.79*** |
Persistence:
0.926
Half-life:
9 days
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