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

Skip to main content

V-Lab

Nikkei Stock Average Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, October 27th, 2025:139.64% (-18.51%)

Analysis last updated: Friday, October 31, 2025 at 09:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.2186	27.94
$β$	0.6788	51.53
$γ$	-0.1675	-12.25
$λ_{1}$	0.2373	2.01
$λ_{2}$	0.0095	2.68
$λ_{3}$	0.9835	149.99

Estimation Period:
Jan 3, 1990 to Oct 24, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other Nikkei Stock Average Volatility Index Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
GAS-GARCH Student T