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 Monday, September 9th, 2024:187.70% (-33.56%)

Analysis last updated: Friday, September 13, 2024 at 06:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.1888	4.92
$α$	0.1547	5.84
$β$	0.6818	13.68
$γ_{1}$	0.1120	2.94
$γ_{2}$	-0.1280	-2.49
$γ_{3}$	0.0218	0.74
$γ_{4}$	0.0147	0.52
$γ_{5}$	-0.0537	-1.72
$γ_{6}$	0.0563	1.39
$γ_{7}$	-0.0402	-0.99
$γ_{8}$	0.0237	0.94

Estimation Period:
Jan 3, 1990 to Sep 6, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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