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

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Nikkei Stock Average Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, October 10th, 2025:118.45% (+14.12%)

Analysis last updated: Saturday, October 11, 2025 at 12:59 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.2174	27.86
$β$	0.6800	51.20
$γ$	-0.1685	-12.30
$λ_{1}$	0.2578	1.94
$λ_{2}$	0.0097	2.57
$λ_{3}$	0.9826	135.77

Estimation Period:
Jan 3, 1990 to Sep 26, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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