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
m window Rolling window length	26
α ARCH Response to squared shocks	0.2984	26.91***
β GARCH Volatility persistence	0.5971	46.74***
γ leverage Additional response to negative shocks	-0.1352	-9.47***
λ₁ tau intercept Baseline long-term coefficient	0.0117	2.53**
λ₂ forecast adj. Forecast performance sensitivity	0.0300	3.60***
λ₃ tau persistence Long-term factor persistence	0.9660	97.80***

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Iwatsuka Confectionery Co MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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