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	106
α ARCH Response to squared shocks	0.0879	24.77***
β GARCH Volatility persistence	0.7042	91.36***
γ leverage Additional response to negative shocks	0.1026	15.41***
λ₁ tau intercept Baseline long-term coefficient	0.2607	1.87*
λ₂ forecast adj. Forecast performance sensitivity	0.2378	2.05**
λ₃ tau persistence Long-term factor persistence	0.7150	4.98***

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Taisei Corp MF2-GARCH Volatility Analysis

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