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	1.1188	7.43***
α ARCH Response to squared shocks	0.1416	9.43***
β GARCH Volatility persistence	0.7610	36.98***

γ₁	-0.0062	-0.18
γ₂	0.0723	1.48
γ₃	-0.1639	-5.74***
γ₄	0.1731	6.24***
γ₅	-0.1257	-4.18***
γ₆	0.0747	2.51**
γ₇	-0.0360	-1.19
γ₈	0.0393	1.22
γ₉	-0.0446	-1.68*

V-Lab

Obayashi Corp Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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