V-Lab
Nikkei Stock Average Volatility Index MF2-GARCH Volatility Analysis
Volatility prediction for Monday, August 3rd, 2026
1 Day
131.13%
1 Week
136.90%
1 Month
142.51%
Analysis last updated: Friday, August 7, 2026 at 08:41 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Jul 31, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 354% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 21 | |
α ARCH Response to squared shocks | 0.2302 | 30.29*** |
β GARCH Volatility persistence | 0.6583 | 52.13*** |
γ leverage Additional response to negative shocks | -0.1796 | -12.98*** |
λ₁ tau intercept Baseline long-term coefficient | 0.2185 | 2.05** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0125 | 3.01*** |
λ₃ tau persistence Long-term factor persistence | 0.9814 | 147.86*** |
Persistence:
0.799
Half-life:
3 days
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