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 Monday, May 5th, 2025:145.03% (+17.36%)

Analysis last updated: Saturday, May 10, 2025 at 03:53 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.1503	4.89
$α$	0.1660	6.35
$β$	0.6657	15.28
$γ_{1}$	0.1075	2.91
$γ_{2}$	-0.1242	-2.49
$γ_{3}$	0.0253	0.91
$γ_{4}$	0.0073	0.27
$γ_{5}$	-0.0461	-1.61
$γ_{6}$	0.0511	1.40
$γ_{7}$	-0.0331	-0.87
$γ_{8}$	0.0151	0.61

Estimation Period:
Jan 3, 1990 to May 2, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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