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, May 2nd, 2025:127.57% (+30.10%)

Analysis last updated: Friday, May 2, 2025 at 11:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.1512	4.89
$α$	0.1670	6.35
$β$	0.6640	15.11
$γ_{1}$	0.1075	2.90
$γ_{2}$	-0.1240	-2.49
$γ_{3}$	0.0250	0.90
$γ_{4}$	0.0078	0.29
$γ_{5}$	-0.0467	-1.63
$γ_{6}$	0.0515	1.40
$γ_{7}$	-0.0336	-0.88
$γ_{8}$	0.0156	0.63

Estimation Period:
Jan 3, 1990 to Apr 18, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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