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	3.1906	4.60***
α ARCH Response to squared shocks	0.2238	8.41***
β GARCH Volatility persistence	0.6561	19.36***

γ₁	0.1135	1.13
γ₂	-0.0873	-0.56
γ₃	0.0366	0.29
γ₄	-0.1577	-1.37
γ₅	0.2019	1.77*
γ₆	-0.2385	-1.88*
γ₇	0.2568	2.10**
γ₈	-0.3019	-2.33**
γ₉	0.3458	3.09***
γ₁₀	-0.2142	-3.54***

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Iwatsuka Confectionery Co Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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