Nikkei Stock Average Volatility Index

CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2457	6.08***
α ARCH Response to squared shocks	0.1781	3.17***
β GARCH Volatility persistence	0.0183	0.22

γ₁	2.1730	3.04***
γ₂	-3.4171	-3.11***
γ₃	2.1300	2.74***
γ₄	-1.8642	-2.25**
γ₅	1.8224	2.09**
γ₆	-1.3412	-1.89*
γ₇	0.7503	1.08
γ₈	-0.5361	-0.74
γ₉	0.9329	1.43
γ₁₀	-1.0786	-2.06**

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Kusuri No Aoki Holdings Co Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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