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	1.7534	7.06***
α ARCH Response to squared shocks	0.1200	7.41***
β GARCH Volatility persistence	0.8029	27.33***

γ₁	0.0347	2.75***
γ₂	-0.0583	-2.81***
γ₃	0.0520	2.99***
γ₄	-0.0622	-3.15***
γ₅	0.0708	3.30***
γ₆	-0.0536	-3.29***

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Katakura Chikkarin Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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