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	1.2657	8.88***
α ARCH Response to squared shocks	0.1300	8.08***
β GARCH Volatility persistence	0.7775	33.10***

γ₁	0.0502	4.65***
γ₂	-0.0848	-5.05***
γ₃	0.0512	4.42***
γ₄	-0.0280	-2.80***
γ₅	0.0268	2.46**
γ₆	-0.0220	-2.42**

V-Lab

Shimizu Corp Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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