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	3.1936	4.58***
α ARCH Response to squared shocks	0.2241	8.41***
β GARCH Volatility persistence	0.6562	19.38***

γ₁	0.1130	1.13
γ₂	-0.0868	-0.56
γ₃	0.0362	0.29
γ₄	-0.1578	-1.38
γ₅	0.2040	1.82*
γ₆	-0.2418	-1.92*
γ₇	0.2590	2.12**
γ₈	-0.3011	-2.32**
γ₉	0.3428	3.01***
γ₁₀	-0.2114	-3.44***

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Iwatsuka Confectionery Co Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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