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	1.1167	7.47***
α ARCH Response to squared shocks	0.1295	9.16***
β GARCH Volatility persistence	0.7762	34.75***

γ₁	-0.0049	-0.11
γ₂	0.0945	1.42
γ₃	-0.1672	-3.27***
γ₄	0.0532	1.13
γ₅	0.1025	2.27**
γ₆	-0.1610	-3.18***
γ₇	0.1386	2.51**
γ₈	-0.0755	-1.34
γ₉	0.0502	1.11
γ₁₀	-0.0527	-1.76*

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Taisei Corp Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Taisei Corp Analyses