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

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V-Lab

Nikkei Stock Average Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, March 7th, 2025:188.35% (-15.39%)

Analysis last updated: Saturday, March 8, 2025 at 12:26 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.1834	29.70
$β$	0.7633	83.50
$γ$	-0.1413	-13.69
$λ_{1}$	0.0221	1.43
$λ_{2}$	0.0025	2.75
$λ_{3}$	0.9969	779.40

Estimation Period:
Jan 3, 1990 to Feb 14, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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