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, January 17th, 2025:120.52% (-0.78%)

Analysis last updated: Saturday, January 18, 2025 at 08:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.1732	4.93
$α$	0.1564	6.00
$β$	0.6787	14.13
$γ_{1}$	0.1100	2.94
$γ_{2}$	-0.1262	-2.50
$γ_{3}$	0.0231	0.80
$γ_{4}$	0.0120	0.43
$γ_{5}$	-0.0512	-1.71
$γ_{6}$	0.0554	1.43
$γ_{7}$	-0.0395	-1.00
$γ_{8}$	0.0224	0.90

Estimation Period:
Jan 3, 1990 to Dec 27, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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