Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3961	5.44***
α ARCH Response to squared shocks	0.1198	7.67***
β GARCH Volatility persistence	0.7957	31.02***

γ₁	-0.0511	-1.61
γ₂	0.1335	2.98***
γ₃	-0.1460	-5.34***
γ₄	0.0854	3.57***
γ₅	-0.0312	-1.36
γ₆	0.0148	0.60
γ₇	-0.0060	-0.26
γ₈	0.0051	0.30

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COMSYS Holdings Corp Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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