Nikkei Stock Average Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1040	21.16***
β GARCH Volatility persistence	0.5524	38.30***
γ leverage Additional response to negative shocks	0.1311	13.25***
λ₁ tau intercept Baseline long-term coefficient	0.0262	2.04**
λ₂ forecast adj. Forecast performance sensitivity	0.0238	3.64***
λ₃ tau persistence Long-term factor persistence	0.9710	116.55***

V-Lab

Nissui Corp MF2-GARCH Volatility Analysis

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