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	1.2241	5.85***
α ARCH Response to squared shocks	0.0885	9.55***
β GARCH Volatility persistence	0.8816	75.27***

γ₁	-0.0360	-0.91
γ₂	0.1779	3.14***
γ₃	-0.3044	-8.49***
γ₄	0.2784	6.25***
γ₅	-0.1992	-3.57***
γ₆	0.1320	2.43**
γ₇	-0.0526	-1.12
γ₈	-0.0275	-0.58
γ₉	0.0552	1.50

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Daiwa House Industry Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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