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, September 19th, 2025:85.79% (-4.00%)

Analysis last updated: Friday, September 19, 2025 at 11:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.1472	4.93
$α$	0.1712	6.56
$β$	0.6543	15.46
$γ_{1}$	0.1059	2.93
$γ_{2}$	-0.1230	-2.52
$γ_{3}$	0.0272	1.01
$γ_{4}$	0.0035	0.13
$γ_{5}$	-0.0422	-1.55
$γ_{6}$	0.0489	1.43
$γ_{7}$	-0.0318	-0.89
$γ_{8}$	0.0140	0.58

Estimation Period:
Jan 3, 1990 to Aug 8, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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