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 Friday, October 10th, 2025:118.83% (+4.49%)

Analysis last updated: Saturday, October 11, 2025 at 12:59 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.1368	4.94
$α$	0.1735	6.71
$β$	0.6470	15.62
$γ_{1}$	0.1050	2.93
$γ_{2}$	-0.1222	-2.54
$γ_{3}$	0.0281	1.06
$γ_{4}$	0.0016	0.06
$γ_{5}$	-0.0399	-1.51
$γ_{6}$	0.0469	1.43
$γ_{7}$	-0.0291	-0.84
$γ_{8}$	0.0110	0.46

Estimation Period:
Jan 3, 1990 to Sep 26, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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AGARCH
Spline-GARCH
GAS-GARCH Student T
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