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The purpose of the research is to compare the main two important stock market indices for the Tokyo Stock Exchange: the Nikkei Stock Average Index (NIKKEI 225) and the Tokyo Stock Price Index (TOPIX), both from the composition, calculation methodology and base value, but also taking into account the changes in volatility using the asymmetric Generalized Autoregressive Conditionally Heteroscedastic processes. The paper tracks the application of time series analysis in financial markets. To do this, I chose the Toky...