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, June 27th, 2025:106.87% (-5.37%)

Analysis last updated: Saturday, June 28, 2025 at 12:56 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.2143	27.33
$β$	0.6875	51.64
$γ$	-0.1664	-12.11
$λ_{1}$	0.2539	1.96
$λ_{2}$	0.0096	2.59
$λ_{3}$	0.9828	138.99

Estimation Period:
Jan 3, 1990 to Jun 13, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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