V-Lab: Nikkei Stock Average Volatility Index Spline-GARCH Volatility Analysis

V-Lab

Nikkei Stock Average Volatility Index Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, June 13th, 2025:150.72% (+6.14%)

Analysis last updated: Saturday, June 14, 2025 at 12:43 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.5028	4.93
$α$	0.1726	7.03
$β$	0.6317	15.99
$γ_{1}$	0.1913	3.34
$γ_{2}$	-0.2166	-2.73
$γ_{3}$	0.0306	0.62
$γ_{4}$	0.0028	0.07
$γ_{5}$	0.0113	0.28
$γ_{6}$	-0.0554	-1.09
$γ_{7}$	0.0428	0.63
$γ_{8}$	0.0221	0.34
$γ_{9}$	-0.0965	-1.91
$γ_{10}$	0.2294	3.34

Estimation Period:
Jan 3, 1990 to May 23, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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