V-Lab: Nikkei Stock Average Volatility Index MF2-GARCH Volatility Analysis

V-Lab

Nikkei Stock Average Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, August 28th, 2025:128.65% (-13.19%)

Analysis last updated: Saturday, August 30, 2025 at 12:26 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.1969	30.38
$β$	0.7496	80.22
$γ$	-0.1505	-14.62
$λ_{1}$	0.0198	1.40
$λ_{2}$	0.0026	2.91
$λ_{3}$	0.9968	813.75

Estimation Period:
Jan 3, 1990 to Aug 8, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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