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	1.2621	6.14***
α ARCH Response to squared shocks	0.1782	3.15***
β GARCH Volatility persistence	0.0103	0.13

γ₁	2.2226	3.09***
γ₂	-3.4826	-3.15***
γ₃	2.1533	2.74***
γ₄	-1.8707	-2.22**
γ₅	1.8087	2.05**
γ₆	-1.3114	-1.84*
γ₇	0.7224	1.02
γ₈	-0.5225	-0.71
γ₉	0.9166	1.37
γ₁₀	-1.0507	-1.90*

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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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