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	1.2309	6.02***
α ARCH Response to squared shocks	0.1759	3.17***
β GARCH Volatility persistence	0.0208	0.25

γ₁	2.1241	2.99***
γ₂	-3.3549	-3.07***
γ₃	2.1099	2.75***
γ₄	-1.8522	-2.29**
γ₅	1.8217	2.12**
γ₆	-1.3550	-1.92*
γ₇	0.7543	1.10
γ₈	-0.4959	-0.69
γ₉	0.8426	1.32
γ₁₀	-0.9953	-1.98**

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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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