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

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

Volatility Prediction for Monday, November 17th, 2025:120.64% (+17.37%)

Analysis last updated: Friday, November 21, 2025 at 10:00 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.1291	4.93
$α$	0.1759	6.84
$β$	0.6453	15.99
$γ_{1}$	0.1040	2.91
$γ_{2}$	-0.1213	-2.53
$γ_{3}$	0.0287	1.09
$γ_{4}$	-0.0001	-0.00
$γ_{5}$	-0.0378	-1.44
$γ_{6}$	0.0451	1.41
$γ_{7}$	-0.0271	-0.79
$γ_{8}$	0.0089	0.38

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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