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 Monday, November 17th, 2025:129.22% (+24.71%)

Analysis last updated: Friday, November 21, 2025 at 10:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.2156	27.67
$β$	0.6845	52.24
$γ$	-0.1648	-12.08
$λ_{1}$	0.2214	2.07
$λ_{2}$	0.0092	2.74
$λ_{3}$	0.9843	162.15

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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