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 Monday, October 27th, 2025:140.26% (-24.54%)

Analysis last updated: Friday, October 31, 2025 at 09:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.1373	4.95
$α$	0.1768	6.83
$β$	0.6412	15.71
$γ_{1}$	0.1048	2.94
$γ_{2}$	-0.1221	-2.55
$γ_{3}$	0.0286	1.08
$γ_{4}$	0.0005	0.02
$γ_{5}$	-0.0386	-1.47
$γ_{6}$	0.0458	1.42
$γ_{7}$	-0.0277	-0.81
$γ_{8}$	0.0095	0.41

Estimation Period:
Jan 3, 1990 to Oct 24, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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GAS-GARCH Student T
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