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	26
α ARCH Response to squared shocks	0.0865	14.02***
β GARCH Volatility persistence	0.6779	32.26***
γ leverage Additional response to negative shocks	0.0865	8.35***
λ₁ tau intercept Baseline long-term coefficient	0.0860	1.94*
λ₂ forecast adj. Forecast performance sensitivity	0.0633	2.40**
λ₃ tau persistence Long-term factor persistence	0.9225	27.33***

V-Lab

Inpex Corp MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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