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, March 7th, 2025:189.86% (-1.31%)

Analysis last updated: Saturday, March 8, 2025 at 12:26 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.1685	4.91
$α$	0.1541	6.02
$β$	0.6861	14.58
$γ_{1}$	0.1092	2.93
$γ_{2}$	-0.1255	-2.50
$γ_{3}$	0.0238	0.83
$γ_{4}$	0.0106	0.38
$γ_{5}$	-0.0496	-1.67
$γ_{6}$	0.0544	1.43
$γ_{7}$	-0.0386	-0.99
$γ_{8}$	0.0215	0.86

Estimation Period:
Jan 3, 1990 to Feb 14, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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