Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1373	7.59***
α ARCH Response to squared shocks	0.1278	9.10***
β GARCH Volatility persistence	0.7796	35.11***

γ₁	-0.0009	-0.02
γ₂	0.0874	1.31
γ₃	-0.1600	-3.10***
γ₄	0.0444	0.94
γ₅	0.1110	2.46**
γ₆	-0.1673	-3.31***
γ₇	0.1415	2.58***
γ₈	-0.0747	-1.34
γ₉	0.0467	1.05
γ₁₀	-0.0492	-1.63

V-Lab

Taisei Corp Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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