V-Lab: Nikkei Stock Average Volatility Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

Nikkei Stock Average Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, June 27th, 2025:98.84% (-5.06%)

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
$ω$	2.1544	4.92
$α$	0.1706	6.52
$β$	0.6572	15.44
$γ_{1}$	0.1070	2.92
$γ_{2}$	-0.1239	-2.51
$γ_{3}$	0.0264	0.96
$γ_{4}$	0.0054	0.20
$γ_{5}$	-0.0441	-1.58
$γ_{6}$	0.0496	1.40
$γ_{7}$	-0.0313	-0.85
$γ_{8}$	0.0131	0.53

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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