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 Monday, May 26th, 2025:86.72% (-0.75%)

Analysis last updated: Friday, May 30, 2025 at 11:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.1935	30.30
$β$	0.7544	81.98
$γ$	-0.1488	-14.41
$λ_{1}$	0.0208	1.44
$λ_{2}$	0.0026	2.87
$λ_{3}$	0.9969	809.14

Estimation Period:
Jan 3, 1990 to May 23, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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