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 Friday, May 2nd, 2025:105.60% (+4.67%)

Analysis last updated: Friday, May 2, 2025 at 11:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.1947	30.13
$β$	0.7529	80.65
$γ$	-0.1502	-14.41
$λ_{1}$	0.0207	1.42
$λ_{2}$	0.0026	2.85
$λ_{3}$	0.9969	805.22

Estimation Period:
Jan 3, 1990 to Apr 18, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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