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	1.3810	5.41***
α ARCH Response to squared shocks	0.1205	7.67***
β GARCH Volatility persistence	0.7933	30.50***

γ₁	-0.0518	-1.65*
γ₂	0.1338	3.01***
γ₃	-0.1454	-5.37***
γ₄	0.0851	3.57***
γ₅	-0.0310	-1.37
γ₆	0.0144	0.60
γ₇	-0.0056	-0.25
γ₈	0.0050	0.30

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COMSYS Holdings Corp Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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