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

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V-Lab

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

Volatility Prediction for Friday, December 20th, 2024:115.73% (+31.60%)

Analysis last updated: Friday, December 20, 2024 at 09:21 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.1677	4.89
$α$	0.1553	5.97
$β$	0.6829	14.26
$γ_{1}$	0.1100	2.91
$γ_{2}$	-0.1259	-2.47
$γ_{3}$	0.0224	0.77
$γ_{4}$	0.0130	0.46
$γ_{5}$	-0.0520	-1.70
$γ_{6}$	0.0554	1.40
$γ_{7}$	-0.0391	-0.98
$γ_{8}$	0.0221	0.87

Estimation Period:
Jan 3, 1990 to Nov 22, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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