Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0855	7.14***
α ARCH Response to squared shocks	0.1411	9.48***
β GARCH Volatility persistence	0.7651	38.05***

γ₁	-0.0119	-0.34
γ₂	0.0790	1.60
γ₃	-0.1652	-5.73***
γ₄	0.1737	6.21***
γ₅	-0.1266	-4.17***
γ₆	0.0754	2.51**
γ₇	-0.0357	-1.18
γ₈	0.0378	1.19
γ₉	-0.0433	-1.66*

V-Lab

Obayashi Corp Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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